STATS

Wikis > SuanShu > Packages > STATS
This is a collection of advanced statistics algorithms.

  • cointegration
  • Kalman filter
  • hidden Markov model (Rabiner)
  • hidden Markov model (mixture models: Beta, Binomial, Exponential, Gamma, Log-Normal, Normal, Poisson)
  • principal component analysis
  • factor analysis
  • stochastic process simulation
  • time series analysis
  • hypothesis testing
  • linear regression
  • LASSO (Least Absolute Shrinkage and Selection Operator)
  • covariance selection