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normix 0.2.2 documentation

  • normix

Getting started

  • Installation
  • Quickstart
  • Your first model, step by step

User guide

  • Distributions
  • Exponential-family structure
  • Fitting with EM
  • Divergences
  • Finance

Tutorials

  • Tutorials
    • The exponential family
    • A tour of the GH family
    • Bessel functions and log_kv
    • Random sampling
    • Univariate positive distributions
    • The Generalized Inverse Gaussian
    • The multivariate normal
    • Normal variance-mean mixtures
    • Factor mixtures for high dimensions
    • Batch EM in practice
    • Incremental (mini-batch) EM
    • Initialization and multi-start
    • EM vs MCECM Algorithm Comparison
    • Divergences between models
    • Goodness of fit
    • A heavy-tailed index series
    • A multivariate stock basket
    • Factor mixtures for a Dow Jones 30 portfolio
    • Portfolio CVaR and its derivatives

Reference

  • Mathematical Background
    • The Generalized Inverse Gaussian Distribution
    • The Generalized Hyperbolic Distribution
    • EM Algorithm for Generalized Hyperbolic Distributions
    • Shrinkage with Penalized Likelihood
    • Factor Analysis for Generalized Hyperbolic Distributions
    • Online EM Algorithm
    • Mean-Risk Optimization for Normal Mixture Distributions
    • CVaR Derivatives for Normal Mixture Distributions
    • Portfolio Optimization with Transaction Costs
    • Effective Number of Bets and Minimum Torsion
    • Generalized Effective Number of Bets
  • Design Rationale
    • Exponential Family Core
    • Mixture Architecture
    • EM Framework
    • Solvers and Bessel Functions
  • API Reference
  • Repository
  • Open issue

Python Module Index

n
 
n
- normix
    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.exponential_family
    normix.fitting.em
    normix.fitting.solvers
    normix.mixtures.joint
    normix.mixtures.marginal
    normix.utils.bessel
    normix.utils.constants

By normix developers

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