Software

Software

R

• FixedPoint: Algorithms for Finding Fixed Point Vectors of Functions.

• schumaker: Schumaker Shape-Preserving Spline.

Julia

• HighFrequencyCovariance.jl - A package for estimating covariance matrices with high frequency financial data.

• SchumakerSpline.jl: A shape preserving spline implementation in Julia.

• FixedPointAcceleration.jl - Algorithms for Finding Fixed Point Vectors of Functions.

• UnivariateFunctions.jl - A univariate algebra, calculus and interpolation package.

• StochasticIntegrals.jl - A package for estimating the covariance between Ito integrals and sampling from this covariance matrix.

• BayesianIntegral.jl - A package for implementing Bayes-Hermite Quadrature (also known as Bayesian Monte Carlo).