• nlsolver Nonlinear optimizers as header-only, C++17 library.
• tinyqr A header-only, optimized C++17 implementation of the QR decomposition.
• soothsayer if you like thefable framework and the idea of meta learning for time series, you might like this
• blaze (WIP) A full fledged time series forecasting and analysis toolkit in modern C++.
  • contains a new (S)ARIMA(X) implementation leveraging SIMD
  • fully capable AR and AutoAR
  • Benchmark methods (Integrated Noise)
  • miscellaneous time series utility functions (seasonality identification, stationarity tests)
• gpvolatility for an implementation of a funky volatility model

I mainly program C++/python these days, but I will do anything that's needed :) I have reached the point where getting things done in a timely manner matters most.

PinnedLoading

1. soothsayersoothsayerPublic

   Automatic Time Series Forecasting and Ensembling via Meta-learning

   R 1

2. blazeblazePublic

   A C++17 implementation of ARIMA following R

   C++ 1 1

3. nlsolvernlsolverPublic

   Easy, header only nonlinear optimizers in C++17

   C++ 2 1

4. gpvolatilitygpvolatilityPublic

   A highly experimental R implementation of https://proceedings.neurips.cc/paper/2014/file/a733fa9b25f33689e2adbe72199f0e62-Paper.pdf

   MATLAB

5. categoryEncodingscategoryEncodingsPublic

   Multiple methods to (quickly) encode factor variables, using data.table

   R 3 1