Software

Software

R

  • FixedPoint: Algorithms for Finding Fixed Point Vectors of Functions.

  • schumaker: Schumaker Shape-Preserving Spline.

Julia

  • HighFrequencyCovariance.jl - A package for estimating covariance matrices with high frequency financial data.

  • SchumakerSpline.jl: A shape preserving spline implementation in Julia.

  • FixedPointAcceleration.jl - Algorithms for Finding Fixed Point Vectors of Functions.

  • UnivariateFunctions.jl - A univariate algebra, calculus and interpolation package.

  • StochasticIntegrals.jl - A package for estimating the covariance between Ito integrals and sampling from this covariance matrix.

  • BayesianIntegral.jl - A package for implementing Bayes-Hermite Quadrature (also known as Bayesian Monte Carlo).

  • MultivariateFunctions.jl - A multivariate algebra, calculus and interpolation package. It also include an implementation of approximation with Chebyshev polynomials, Recursive Partitioning and Multivariate Adaptive Regression (MARS) splines.