The package is available on CRAN.
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.
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.
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).
These functions implement the method described in the Appendix of Gandy, Kvaloy, Bottle & Zhou (2010), Biometrika 97 (2): 375-388. The implementation is written in R.
It is available in a git repository on Bitbucket
Please send comments to the e-mail address given on the main page.