Axel Gandy - Software

R-Package "simctest"
An R-Package that implements an sequential method to compute p-values for Monte Carlo tests. The algorithm is particularly useful for bootstrap or permutation tests. It now includes extensions to multiple testing.

The package is available on CRAN.

R-Package "spcadjust"

This package calibrates thresholds of control charts such as CUSUM charts based on past data, taking estimation error into account.

This package is available on CRAN.

R-Package "systemicrisk"

A toolbox for systemic risk based on liabilities matrices. Contains a Gibbs sampler for liabilities matrices where only row and column sums of the liabilities matrix are observed. It is based on the following paper:
Gandy, Axel and Veraart, Luitgard A. M., A Bayesian Methodology for Systemic Risk Assessment in Financial Networks (March 19, 2015). Available at SSRN http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2580869 This package is available on CRAN. It contains a short example.

Chopthin

An implementation of the chopthin-algorithm for resampling of particles described in
G&Lau (2015). The chopthin algorithm for resampling. arXiv:1502.07532
The implementation is C++ based (chopthin_C++.zip contains the main code and an example). Also available are an R-package (chopthin on CRAN) a python package and a MATLAB MEX file (chopthin_MEX.zip).


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