Index

A

a (normix.distributions.generalized_hyperbolic.FactorGeneralizedHyperbolic property) (normix.distributions.generalized_hyperbolic.GeneralizedHyperbolic property) (normix.distributions.generalized_hyperbolic.JointGeneralizedHyperbolic attribute) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian attribute) A (normix.finance.optimization.MeanRiskProblem attribute) a (normix.fitting.eta_rules.AffineUpdate attribute) A_inv (normix.finance.optimization.MeanRiskProblem attribute) A_tilde (normix.finance.transaction_costs.TransactionCostQP attribute) affine_combine() (in module normix.fitting.eta) AffineRule (class in normix.fitting.eta_rules) AffineUpdate (class in normix.fitting.eta_rules) alpha (normix.distributions.gamma.Gamma attribute) (normix.distributions.inverse_gamma.InverseGamma attribute) (normix.distributions.normal_inverse_gamma.FactorNormalInverseGamma property) (normix.distributions.normal_inverse_gamma.JointNormalInverseGamma attribute) (normix.distributions.normal_inverse_gamma.NormalInverseGamma property) (normix.distributions.variance_gamma.FactorVarianceGamma property) (normix.distributions.variance_gamma.JointVarianceGamma attribute) (normix.distributions.variance_gamma.VarianceGamma property) (normix.finance.risk.CVaR attribute)

approx (normix.finance.transaction_costs.TransactionCostQP attribute), [1] approx_objective (normix.finance.transaction_costs.TransactionCostResult attribute) approx_objective() (normix.finance.transaction_costs.TransactionCostQP method) approximate() (normix.finance.transaction_costs.TransactionCostProblem method)

B

b (normix.distributions.generalized_hyperbolic.FactorGeneralizedHyperbolic property) (normix.distributions.generalized_hyperbolic.GeneralizedHyperbolic property) (normix.distributions.generalized_hyperbolic.JointGeneralizedHyperbolic attribute) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian attribute) (normix.fitting.eta_rules.AffineUpdate attribute) b_tilde (normix.finance.transaction_costs.TransactionCostQP attribute) base (normix.fitting.eta_rules.Shrinkage attribute) BatchEMFitter (class in normix.fitting.em) beta (normix.distributions.gamma.Gamma attribute) (normix.distributions.inverse_gamma.InverseGamma attribute) (normix.distributions.normal_inverse_gamma.FactorNormalInverseGamma property) (normix.distributions.normal_inverse_gamma.JointNormalInverseGamma attribute) (normix.distributions.normal_inverse_gamma.NormalInverseGamma property) (normix.distributions.variance_gamma.FactorVarianceGamma property) (normix.distributions.variance_gamma.JointVarianceGamma attribute) (normix.distributions.variance_gamma.VarianceGamma property)

bregman_divergence() (normix.exponential_family.ExponentialFamily class method) bregman_objective() (in module normix.fitting.solvers) BregmanResult (class in normix.fitting.solvers) build_pinv_table() (in module normix.utils.rvs) build_qp() (normix.finance.transaction_costs.TransactionCostProblem method) build_quadratic_approximation() (in module normix.finance.transaction_costs) build_transaction_cost_qp() (in module normix.finance.transaction_costs)

C

c (normix.fitting.eta_rules.AffineUpdate attribute) c1 (normix.finance.transaction_costs.TransactionCostProblem attribute) (normix.finance.transaction_costs.TransactionCostQP attribute) c2 (normix.finance.transaction_costs.TransactionCostProblem attribute) (normix.finance.transaction_costs.TransactionCostQP attribute) cdf() (normix.distributions.gamma.Gamma method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) (normix.distributions.inverse_gamma.InverseGamma method) (normix.distributions.inverse_gaussian.InverseGaussian method) (normix.exponential_family.ExponentialFamily method) (normix.utils.rvs.QuantileTable method)

compute_eta_from_model() (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.MarginalMixture method) (normix.mixtures.marginal.NormalMixture method) conditional_expectations() (normix.mixtures.joint.JointNormalMixture method) converged (normix.fitting.em.EMResult attribute) (normix.fitting.solvers.BregmanResult attribute) cov() (normix.distributions.normal.MultivariateNormal method) (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.NormalMixture method) CVaR (class in normix.finance.risk)

D

d (normix.distributions.normal.MultivariateNormal property) (normix.finance.diversification.ENBResult attribute) (normix.finance.diversification.TorsionDecomposition attribute) (normix.finance.transaction_costs.TransactionCostQP property) D (normix.mixtures.factor.FactorNormalMixture attribute) d (normix.mixtures.factor.FactorNormalMixture property) (normix.mixtures.joint.JointNormalMixture property) (normix.mixtures.marginal.NormalMixture property) decompose() (normix.finance.diversification.MinimumTorsion method) (normix.finance.diversification.PCATorsion method) (normix.finance.diversification.Torsion method)

default_init() (normix.distributions.generalized_hyperbolic.FactorGeneralizedHyperbolic class method) (normix.distributions.generalized_hyperbolic.GeneralizedHyperbolic class method) (normix.exponential_family.ExponentialFamily class method) (normix.mixtures.factor.FactorNormalMixture class method) (normix.mixtures.marginal.NormalMixture class method) dim (normix.distributions.normal.MultivariateNormal property) dispersion() (normix.finance.optimization.MeanRiskProblem method) diverged (normix.fitting.em.EMResult attribute)

E

E_inv_Y (normix.fitting.eta.FactorMixtureStats attribute) (normix.fitting.eta.NormalMixtureEta attribute) E_log_Y (normix.fitting.eta.FactorMixtureStats attribute) (normix.fitting.eta.NormalMixtureEta attribute) e_step() (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.MarginalMixture method) (normix.mixtures.marginal.NormalMixture method) e_tilde (normix.finance.transaction_costs.TransactionCostQP attribute), [1] E_X (normix.fitting.eta.FactorMixtureStats attribute) (normix.fitting.eta.NormalMixtureEta attribute) E_X_inv_Y (normix.fitting.eta.FactorMixtureStats attribute) (normix.fitting.eta.NormalMixtureEta attribute) E_XXT_inv_Y (normix.fitting.eta.FactorMixtureStats attribute) (normix.fitting.eta.NormalMixtureEta attribute) E_XZT_inv_sqrtY (normix.fitting.eta.FactorMixtureStats attribute) E_Y (normix.fitting.eta.FactorMixtureStats attribute) (normix.fitting.eta.NormalMixtureEta attribute) E_Y() (normix.finance.optimization.MeanRiskProblem method) E_Z_inv_sqrtY (normix.fitting.eta.FactorMixtureStats attribute) E_Z_sqrtY (normix.fitting.eta.FactorMixtureStats attribute) E_ZZT (normix.fitting.eta.FactorMixtureStats attribute) efficient_frontier() (normix.finance.optimization.MeanRiskProblem method) efficient_surface() (normix.finance.optimization.MeanRiskProblem method) EfficientFrontier (class in normix.finance.optimization) EfficientSurface (class in normix.finance.optimization) eigenvalues (normix.finance.diversification.ENBResult attribute) (normix.finance.diversification.TorsionDecomposition attribute)

elapsed_time (normix.fitting.em.EMResult attribute) (normix.fitting.solvers.BregmanResult attribute) em_convergence_params() (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.MarginalMixture method) (normix.mixtures.marginal.NormalMixture method) EMResult (class in normix.fitting.em) enb (normix.finance.diversification.ENBResult attribute) ENBResult (class in normix.finance.diversification) entropy() (normix.exponential_family.ExponentialFamily method) eta0 (normix.fitting.eta_rules.Shrinkage attribute) eta0_diagonal() (in module normix.fitting.shrinkage_targets) eta0_from_model() (in module normix.fitting.shrinkage_targets) eta0_isotropic() (in module normix.fitting.shrinkage_targets) eta0_with_sigma() (in module normix.fitting.shrinkage_targets) EtaUpdateRule (class in normix.fitting.eta_rules) evaluate() (normix.finance.diversification.GeneralizedENB method) (normix.finance.diversification.VarianceENB method) evaluate_covariance() (normix.finance.diversification.VarianceENB method) EWMAUpdate (class in normix.fitting.eta_rules) expectation_params() (normix.exponential_family.ExponentialFamily method) expectation_params_batch() (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian static method) expected_return (normix.finance.optimization.EfficientFrontier attribute) (normix.finance.optimization.EfficientSurface attribute) expected_return() (normix.finance.optimization.MeanRiskProblem method) expected_return_vector() (normix.finance.transaction_costs.TransactionCostProblem method) ExponentialFamily (class in normix.exponential_family)

F

F (normix.mixtures.factor.FactorNormalMixture attribute) FactorGeneralizedHyperbolic (class in normix.distributions.generalized_hyperbolic) FactorMixtureStats (class in normix.fitting.eta) FactorNormalInverseGamma (class in normix.distributions.normal_inverse_gamma) FactorNormalInverseGaussian (class in normix.distributions.normal_inverse_gaussian) FactorNormalMixture (class in normix.mixtures.factor) FactorVarianceGamma (class in normix.distributions.variance_gamma) fisher_information() (normix.exponential_family.ExponentialFamily method) fit() (normix.exponential_family.ExponentialFamily method) (normix.fitting.em.BatchEMFitter method) (normix.fitting.em.IncrementalEMFitter method) (normix.mixtures.marginal.MarginalMixture method) fit_mle() (normix.exponential_family.ExponentialFamily class method) from_classical() (normix.distributions.generalized_hyperbolic.FactorGeneralizedHyperbolic class method) (normix.distributions.generalized_hyperbolic.GeneralizedHyperbolic class method) (normix.distributions.generalized_hyperbolic.JointGeneralizedHyperbolic class method) (normix.distributions.generalized_hyperbolic.UnivariateGeneralizedHyperbolic class method) (normix.distributions.normal.MultivariateNormal class method) (normix.distributions.normal_inverse_gamma.FactorNormalInverseGamma class method) (normix.distributions.normal_inverse_gamma.JointNormalInverseGamma class method) (normix.distributions.normal_inverse_gamma.NormalInverseGamma class method) (normix.distributions.normal_inverse_gamma.UnivariateNormalInverseGamma class method) (normix.distributions.normal_inverse_gaussian.FactorNormalInverseGaussian class method) (normix.distributions.normal_inverse_gaussian.JointNormalInverseGaussian class method) (normix.distributions.normal_inverse_gaussian.NormalInverseGaussian class method) (normix.distributions.normal_inverse_gaussian.UnivariateNormalInverseGaussian class method) (normix.distributions.variance_gamma.FactorVarianceGamma class method) (normix.distributions.variance_gamma.JointVarianceGamma class method) (normix.distributions.variance_gamma.UnivariateVarianceGamma class method) (normix.distributions.variance_gamma.VarianceGamma class method)

from_expectation() (normix.distributions.gamma.Gamma class method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian class method) (normix.distributions.inverse_gamma.InverseGamma class method) (normix.distributions.inverse_gaussian.InverseGaussian class method) (normix.distributions.normal.MultivariateNormal class method) (normix.exponential_family.ExponentialFamily class method) (normix.mixtures.joint.JointNormalMixture class method) (normix.mixtures.marginal.NormalMixture class method) from_natural() (normix.distributions.gamma.Gamma class method) (normix.distributions.generalized_hyperbolic.JointGeneralizedHyperbolic class method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian class method) (normix.distributions.inverse_gamma.InverseGamma class method) (normix.distributions.inverse_gaussian.InverseGaussian class method) (normix.distributions.normal.MultivariateNormal class method) (normix.distributions.normal_inverse_gamma.JointNormalInverseGamma class method) (normix.distributions.normal_inverse_gaussian.JointNormalInverseGaussian class method) (normix.distributions.variance_gamma.JointVarianceGamma class method) (normix.exponential_family.ExponentialFamily class method) fun (normix.fitting.solvers.BregmanResult attribute)

G

Gamma (class in normix.distributions.gamma) gamma (normix.mixtures.factor.FactorNormalMixture attribute) (normix.mixtures.joint.JointNormalMixture attribute) (normix.mixtures.marginal.NormalMixture property) gamma_tilde (normix.finance.optimization.EfficientFrontier attribute) (normix.finance.optimization.EfficientSurface attribute) gammaincinv() (in module normix.utils.gammainc) GeneralizedENB (class in normix.finance.diversification)

GeneralizedHyperbolic (class in normix.distributions.generalized_hyperbolic) GeneralizedInverseGaussian (class in normix.distributions.generalized_inverse_gaussian) GIG (in module normix.distributions.generalized_inverse_gaussian) grad() (normix.finance.functional.WeightFunctional method) grad_norm (normix.fitting.solvers.BregmanResult attribute) gradient (normix.finance.transaction_costs.QuadraticApproximation attribute) gradient_scalar() (normix.finance.risk.CVaR method) gradient_w() (normix.finance.risk.CVaR method)

H

H_tilde (normix.finance.transaction_costs.TransactionCostQP attribute), [1] hess() (normix.finance.functional.WeightFunctional method) hessian (normix.finance.transaction_costs.QuadraticApproximation attribute)

hessian_scalar() (normix.finance.risk.CVaR method) hessian_w() (normix.finance.risk.CVaR method) hold_objective (normix.finance.transaction_costs.TransactionCostResult attribute) hold_objective() (normix.finance.transaction_costs.TransactionCostQP method)

I

IdentityUpdate (class in normix.fitting.eta_rules) improved (normix.finance.transaction_costs.TransactionCostResult attribute) IncrementalEMFitter (class in normix.fitting.em) initial_state() (normix.fitting.eta_rules.EtaUpdateRule method) (normix.fitting.eta_rules.SampleWeightedUpdate method) (normix.fitting.eta_rules.Shrinkage method)

InverseGamma (class in normix.distributions.inverse_gamma) InverseGaussian (class in normix.distributions.inverse_gaussian)

J

joint (normix.mixtures.marginal.NormalMixture property) joint_entropy() (normix.mixtures.marginal.NormalMixture method) joint_renyi() (normix.mixtures.marginal.NormalMixture method) joint_varentropy() (normix.mixtures.marginal.NormalMixture method)

JointGeneralizedHyperbolic (class in normix.distributions.generalized_hyperbolic) JointNormalInverseGamma (class in normix.distributions.normal_inverse_gamma) JointNormalInverseGaussian (class in normix.distributions.normal_inverse_gaussian) JointNormalMixture (class in normix.mixtures.joint) JointVarianceGamma (class in normix.distributions.variance_gamma)

K

kl_divergence() (in module normix.divergences) (normix.exponential_family.ExponentialFamily method) (normix.mixtures.marginal.NormalMixture method)

kl_divergence_from_eta() (in module normix.divergences) kl_divergence_from_psi() (in module normix.divergences) kurtosis() (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.NormalMixture method)

L

L_Sigma (normix.distributions.normal.MultivariateNormal attribute) (normix.mixtures.joint.JointNormalMixture attribute) (normix.mixtures.marginal.NormalMixture property) lam (normix.distributions.inverse_gaussian.InverseGaussian attribute) (normix.distributions.normal_inverse_gaussian.FactorNormalInverseGaussian property) (normix.distributions.normal_inverse_gaussian.JointNormalInverseGaussian attribute) (normix.distributions.normal_inverse_gaussian.NormalInverseGaussian property) log_base_measure() (normix.distributions.gamma.Gamma static method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian static method) (normix.distributions.inverse_gamma.InverseGamma static method) (normix.distributions.inverse_gaussian.InverseGaussian static method) (normix.distributions.normal.MultivariateNormal static method) (normix.exponential_family.ExponentialFamily static method) (normix.mixtures.joint.JointNormalMixture static method) log_density_power() (normix.distributions.inverse_gaussian.InverseGaussian method) (normix.distributions.normal_inverse_gaussian.JointNormalInverseGaussian method) (normix.exponential_family.ExponentialFamily method)

log_det_sigma() (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.joint.JointNormalMixture method) (normix.mixtures.marginal.NormalMixture method) log_kv() (in module normix.utils.bessel) log_likelihoods (normix.fitting.em.EMResult attribute) log_partition() (normix.exponential_family.ExponentialFamily method) log_prob() (normix.distributions.generalized_hyperbolic.FactorGeneralizedHyperbolic method) (normix.distributions.generalized_hyperbolic.GeneralizedHyperbolic method) (normix.distributions.normal.MultivariateNormal method) (normix.distributions.normal_inverse_gamma.FactorNormalInverseGamma method) (normix.distributions.normal_inverse_gamma.NormalInverseGamma method) (normix.distributions.normal_inverse_gaussian.FactorNormalInverseGaussian method) (normix.distributions.normal_inverse_gaussian.NormalInverseGaussian method) (normix.distributions.variance_gamma.FactorVarianceGamma method) (normix.distributions.variance_gamma.VarianceGamma method) (normix.exponential_family.ExponentialFamily method) (normix.mixtures.marginal.MarginalMixture method) log_prob_joint() (normix.mixtures.joint.JointNormalMixture method)

M

m (normix.finance.transaction_costs.TransactionCostQP attribute), [1] m_step() (normix.distributions.generalized_hyperbolic.FactorGeneralizedHyperbolic method) (normix.distributions.generalized_hyperbolic.GeneralizedHyperbolic method) (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.MarginalMixture method) (normix.mixtures.marginal.NormalMixture method) m_step_normal() (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.MarginalMixture method) (normix.mixtures.marginal.NormalMixture method) m_step_subordinator() (normix.distributions.generalized_hyperbolic.FactorGeneralizedHyperbolic method) (normix.distributions.generalized_hyperbolic.GeneralizedHyperbolic method) (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.MarginalMixture method) (normix.mixtures.marginal.NormalMixture method) m_tilde (normix.finance.transaction_costs.TransactionCostQP attribute), [1] make_jit_newton_solver() (in module normix.fitting.solvers) marginal_log_likelihood() (normix.mixtures.marginal.MarginalMixture method) MarginalMixture (class in normix.mixtures.marginal) mean() (normix.distributions.gamma.Gamma method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) (normix.distributions.inverse_gamma.InverseGamma method) (normix.distributions.inverse_gaussian.InverseGaussian method) (normix.distributions.normal.MultivariateNormal method) (normix.exponential_family.ExponentialFamily method) (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.NormalMixture method) MeanRiskProblem (class in normix.finance.optimization) min_variance_point() (normix.finance.optimization.MeanRiskProblem method) MinimumTorsion (class in normix.finance.diversification) mode() (normix.distributions.gamma.Gamma method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) (normix.distributions.inverse_gamma.InverseGamma method) (normix.distributions.inverse_gaussian.InverseGaussian method) model (normix.finance.functional.WeightFunctional attribute) (normix.finance.optimization.MeanRiskProblem attribute) (normix.finance.transaction_costs.TransactionCostProblem attribute) (normix.fitting.em.EMResult attribute) module normix.distributions.gamma normix.distributions.generalized_hyperbolic normix.distributions.generalized_inverse_gaussian normix.distributions.inverse_gamma normix.distributions.inverse_gaussian normix.distributions.normal normix.distributions.normal_inverse_gamma normix.distributions.normal_inverse_gaussian normix.distributions.variance_gamma normix.divergences normix.exponential_family normix.finance.diversification normix.finance.functional normix.finance.optimization normix.finance.risk normix.finance.transaction_costs normix.fitting.em normix.fitting.eta normix.fitting.eta_rules normix.fitting.shrinkage_targets normix.fitting.solvers normix.mixtures.factor normix.mixtures.joint normix.mixtures.marginal normix.utils.bessel normix.utils.constants normix.utils.gammainc normix.utils.plotting normix.utils.rvs normix.utils.validation

mu (normix.distributions.inverse_gaussian.InverseGaussian attribute) (normix.distributions.normal.MultivariateNormal attribute) (normix.mixtures.factor.FactorNormalMixture attribute) (normix.mixtures.joint.JointNormalMixture attribute) (normix.mixtures.marginal.NormalMixture property) mu_ig (normix.distributions.normal_inverse_gaussian.FactorNormalInverseGaussian property) (normix.distributions.normal_inverse_gaussian.JointNormalInverseGaussian attribute) (normix.distributions.normal_inverse_gaussian.NormalInverseGaussian property) mu_tilde (normix.finance.optimization.EfficientFrontier attribute) (normix.finance.optimization.EfficientSurface attribute) MultivariateNormal (class in normix.distributions.normal)

N

n_iter (normix.fitting.em.EMResult attribute) natural_params() (normix.distributions.gamma.Gamma method) (normix.distributions.generalized_hyperbolic.JointGeneralizedHyperbolic method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) (normix.distributions.inverse_gamma.InverseGamma method) (normix.distributions.inverse_gaussian.InverseGaussian method) (normix.distributions.normal.MultivariateNormal method) (normix.distributions.normal_inverse_gamma.JointNormalInverseGamma method) (normix.distributions.normal_inverse_gaussian.JointNormalInverseGaussian method) (normix.distributions.variance_gamma.JointVarianceGamma method) (normix.exponential_family.ExponentialFamily method) NormalInverseGamma (class in normix.distributions.normal_inverse_gamma) NormalInverseGaussian (class in normix.distributions.normal_inverse_gaussian) NormalMixture (class in normix.mixtures.marginal) NormalMixtureEta (class in normix.fitting.eta) normix.distributions.gamma module normix.distributions.generalized_hyperbolic module normix.distributions.generalized_inverse_gaussian module normix.distributions.inverse_gamma module normix.distributions.inverse_gaussian module normix.distributions.normal module normix.distributions.normal_inverse_gamma module normix.distributions.normal_inverse_gaussian module normix.distributions.variance_gamma module normix.divergences module normix.exponential_family module normix.finance.diversification module

normix.finance.functional module normix.finance.optimization module normix.finance.risk module normix.finance.transaction_costs module normix.fitting.em module normix.fitting.eta module normix.fitting.eta_rules module normix.fitting.shrinkage_targets module normix.fitting.solvers module normix.mixtures.factor module normix.mixtures.joint module normix.mixtures.marginal module normix.utils.bessel module normix.utils.constants module normix.utils.gammainc module normix.utils.plotting module normix.utils.rvs module normix.utils.validation module num_steps (normix.fitting.solvers.BregmanResult attribute)

P

p (normix.distributions.generalized_hyperbolic.FactorGeneralizedHyperbolic property) (normix.distributions.generalized_hyperbolic.GeneralizedHyperbolic property) (normix.distributions.generalized_hyperbolic.JointGeneralizedHyperbolic attribute) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian attribute) (normix.finance.diversification.ENBResult attribute) param_changes (normix.fitting.em.EMResult attribute) PCATorsion (class in normix.finance.diversification) pdf() (normix.exponential_family.ExponentialFamily method) (normix.mixtures.marginal.MarginalMixture method) plot_em_convergence() (in module normix.utils.plotting) plot_joint_1d() (in module normix.utils.plotting) plot_marginal_2d() (in module normix.utils.plotting)

plot_mle_fit() (in module normix.utils.plotting) plot_pdf_cdf_comparison() (in module normix.utils.plotting) plot_sample_histograms() (in module normix.utils.plotting) ppf() (normix.distributions.gamma.Gamma method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) (normix.distributions.inverse_gamma.InverseGamma method) (normix.distributions.inverse_gaussian.InverseGaussian method) (normix.utils.rvs.QuantileTable method) print_exp_family_params() (in module normix.utils.validation) print_moment_validation() (in module normix.utils.validation) project() (normix.mixtures.marginal.NormalMixture method) projection_at() (normix.finance.optimization.MeanRiskProblem method)

Q

qp (normix.finance.transaction_costs.TransactionCostResult attribute) QuadraticApproximation (class in normix.finance.transaction_costs)

quantile_table() (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) (normix.distributions.inverse_gaussian.InverseGaussian method) QuantileTable (class in normix.utils.rvs)

R

r (normix.mixtures.factor.FactorNormalMixture property) raw_moment() (normix.distributions.gamma.Gamma method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) (normix.distributions.inverse_gamma.InverseGamma method) (normix.distributions.inverse_gaussian.InverseGaussian method) raw_moments() (normix.distributions.gamma.Gamma method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) (normix.distributions.inverse_gamma.InverseGamma method) (normix.distributions.inverse_gaussian.InverseGaussian method) regularize_a_eq_b() (normix.distributions.generalized_hyperbolic.FactorGeneralizedHyperbolic method) (normix.distributions.generalized_hyperbolic.GeneralizedHyperbolic method) (normix.distributions.normal_inverse_gaussian.FactorNormalInverseGaussian method) (normix.distributions.normal_inverse_gaussian.NormalInverseGaussian method) (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.NormalMixture method) regularize_det_sigma() (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.NormalMixture method) regularize_det_sigma_one() (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.NormalMixture method) renyi() (normix.exponential_family.ExponentialFamily method) replace() (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.NormalMixture method)

risk (normix.finance.diversification.ENBResult attribute) (normix.finance.diversification.GeneralizedENB attribute) (normix.finance.functional.WeightFunctional attribute) (normix.finance.optimization.EfficientFrontier attribute) (normix.finance.optimization.EfficientSurface attribute) (normix.finance.optimization.MeanRiskProblem attribute) (normix.finance.transaction_costs.TransactionCostProblem attribute) risk_at() (normix.finance.optimization.MeanRiskProblem method) RiskMeasure (class in normix.finance.risk) RobbinsMonroUpdate (class in normix.fitting.eta_rules) rvs() (normix.distributions.gamma.Gamma method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) (normix.distributions.inverse_gamma.InverseGamma method) (normix.distributions.inverse_gaussian.InverseGaussian method) (normix.distributions.normal.MultivariateNormal method) (normix.exponential_family.ExponentialFamily method) (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.joint.JointNormalMixture method) (normix.mixtures.marginal.NormalMixture method) (normix.utils.rvs.QuantileTable method) rvs_pinv() (in module normix.utils.rvs)

S

SampleWeightedUpdate (class in normix.fitting.eta_rules) savefig() (in module normix.utils.plotting) set_theme() (in module normix.utils.plotting) Shrinkage (class in normix.fitting.eta_rules) sigma() (normix.distributions.normal.MultivariateNormal method) (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.joint.JointNormalMixture method) (normix.mixtures.marginal.NormalMixture method) Sinv_M (normix.finance.optimization.MeanRiskProblem attribute) skewness() (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.marginal.NormalMixture method) solve() (normix.finance.transaction_costs.TransactionCostProblem method) solve_bregman() (in module normix.fitting.solvers) solve_bregman_multistart() (in module normix.fitting.solvers) solve_transaction_cost_qp() (in module normix.finance.transaction_costs) squared_hellinger() (in module normix.divergences) (normix.exponential_family.ExponentialFamily method) (normix.mixtures.marginal.NormalMixture method)

squared_hellinger_from_psi() (in module normix.divergences) std() (normix.exponential_family.ExponentialFamily method) style_axes() (in module normix.utils.plotting) subordinator() (normix.distributions.generalized_hyperbolic.JointGeneralizedHyperbolic method) (normix.distributions.normal_inverse_gamma.JointNormalInverseGamma method) (normix.distributions.normal_inverse_gaussian.JointNormalInverseGaussian method) (normix.distributions.variance_gamma.JointVarianceGamma method) (normix.mixtures.factor.FactorNormalMixture method) (normix.mixtures.joint.JointNormalMixture method) (normix.mixtures.marginal.MarginalMixture method) (normix.mixtures.marginal.NormalMixture method) sufficient_statistics() (normix.distributions.gamma.Gamma static method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian static method) (normix.distributions.inverse_gamma.InverseGamma static method) (normix.distributions.inverse_gaussian.InverseGaussian static method) (normix.distributions.normal.MultivariateNormal static method) (normix.exponential_family.ExponentialFamily static method) (normix.mixtures.joint.JointNormalMixture static method)

T

T (normix.finance.diversification.ENBResult attribute) (normix.finance.diversification.TorsionDecomposition attribute) T_inv_T (normix.finance.diversification.TorsionDecomposition attribute) tau (normix.fitting.eta_rules.Shrinkage attribute) tau0 (normix.fitting.eta_rules.RobbinsMonroUpdate attribute) theta (normix.fitting.solvers.BregmanResult attribute) to_gamma() (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) to_generalized_hyperbolic() (normix.distributions.normal_inverse_gamma.NormalInverseGamma method) (normix.distributions.normal_inverse_gaussian.NormalInverseGaussian method) (normix.distributions.variance_gamma.VarianceGamma method) to_gig() (normix.distributions.gamma.Gamma method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) (normix.distributions.inverse_gamma.InverseGamma method) (normix.distributions.inverse_gaussian.InverseGaussian method) to_inverse_gamma() (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) to_inverse_gaussian() (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method)

to_joint_generalized_hyperbolic() (normix.distributions.generalized_hyperbolic.JointGeneralizedHyperbolic method) (normix.mixtures.joint.JointNormalMixture method) to_joint_normal_inverse_gamma() (normix.distributions.generalized_hyperbolic.JointGeneralizedHyperbolic method) to_joint_normal_inverse_gaussian() (normix.distributions.generalized_hyperbolic.JointGeneralizedHyperbolic method) to_joint_variance_gamma() (normix.distributions.generalized_hyperbolic.JointGeneralizedHyperbolic method) to_normal_inverse_gamma() (normix.distributions.generalized_hyperbolic.GeneralizedHyperbolic method) to_normal_inverse_gaussian() (normix.distributions.generalized_hyperbolic.GeneralizedHyperbolic method) to_variance_gamma() (normix.distributions.generalized_hyperbolic.GeneralizedHyperbolic method) Torsion (class in normix.finance.diversification) torsion (normix.finance.diversification.GeneralizedENB attribute) (normix.finance.diversification.VarianceENB attribute) TorsionDecomposition (class in normix.finance.diversification) TransactionCostProblem (class in normix.finance.transaction_costs) TransactionCostQP (class in normix.finance.transaction_costs) TransactionCostResult (class in normix.finance.transaction_costs) true_objective_at() (normix.finance.transaction_costs.TransactionCostProblem method) turnover (normix.finance.transaction_costs.TransactionCostResult attribute)

U

u_grid (normix.utils.rvs.QuantileTable attribute) UnivariateGeneralizedHyperbolic (class in normix.distributions.generalized_hyperbolic)

UnivariateNormalInverseGamma (class in normix.distributions.normal_inverse_gamma) UnivariateNormalInverseGaussian (class in normix.distributions.normal_inverse_gaussian) UnivariateVarianceGamma (class in normix.distributions.variance_gamma)

V

v (normix.finance.diversification.ENBResult attribute) (normix.finance.transaction_costs.TransactionCostResult attribute) valid (normix.finance.diversification.TorsionDecomposition attribute) validate_moments() (in module normix.utils.validation) value (normix.finance.transaction_costs.QuadraticApproximation attribute) value() (normix.finance.risk.CVaR method) (normix.finance.risk.RiskMeasure method) value_grad_hess_w() (normix.finance.risk.CVaR method) (normix.finance.risk.RiskMeasure method) value_reduced() (normix.finance.risk.CVaR method) (normix.finance.risk.RiskMeasure method)

value_w() (normix.finance.risk.CVaR method) var() (normix.distributions.gamma.Gamma method) (normix.distributions.generalized_inverse_gaussian.GeneralizedInverseGaussian method) (normix.distributions.inverse_gamma.InverseGamma method) (normix.distributions.inverse_gaussian.InverseGaussian method) (normix.exponential_family.ExponentialFamily method) (normix.finance.risk.CVaR method) varentropy() (normix.exponential_family.ExponentialFamily method) VarianceENB (class in normix.finance.diversification) VarianceGamma (class in normix.distributions.variance_gamma)

W

w (normix.fitting.eta_rules.EWMAUpdate attribute) w0 (normix.finance.transaction_costs.QuadraticApproximation attribute) (normix.finance.transaction_costs.TransactionCostQP attribute) WeightFunctional (class in normix.finance.functional) weights (normix.finance.optimization.EfficientFrontier attribute) (normix.finance.transaction_costs.TransactionCostResult attribute) weights() (normix.finance.optimization.MeanRiskProblem method) (normix.fitting.eta_rules.AffineRule method) (normix.fitting.eta_rules.AffineUpdate method) (normix.fitting.eta_rules.EWMAUpdate method) (normix.fitting.eta_rules.IdentityUpdate method) (normix.fitting.eta_rules.RobbinsMonroUpdate method) (normix.fitting.eta_rules.SampleWeightedUpdate method)

weights_from_v() (normix.finance.transaction_costs.TransactionCostQP method)

X

x_grid (normix.utils.rvs.QuantileTable attribute)

Y

Y (normix.finance.functional.WeightFunctional attribute)