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Post-doc researcher at the Econometrics and Data Science department of VU Amsterdam
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Vrije Universiteit Amsterdam
- Amsterdam, NL
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DynamicFactorModels.jl
DynamicFactorModels.jl PublicProvides methods for dynamic factor models, such as estimation, w/ and w/o penalization, forecasting and filtering
Julia 1
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TensorAutoregressions.jl
TensorAutoregressions.jl PublicProvides methods for tensor-valued autoregressive modelling, such as estimation, forecasting and impulse response function (IRF) analysis
Julia 1
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StateSpace.jl
StateSpace.jl PublicProvides methods for a linear Gaussian State Space model such as filtering (Kalman filter), smoothing (Kalman smoother), forecasting, likelihood evaluation, and estimation of hyperparameters (Maxim…
Julia 4
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