A fast, accurate, and modularized dimensionality reduction approach based on diffusion harmonics and graph layouts. Escalates to millions of samples on a personal laptop. Adds high-dimensional big data intrinsic structure to your clustering and data visualization workflow.
A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep Galerkin method
Implementation of the 'fnets' methodology proposed in Barigozzi, Cho and Owens (2021) for network estimation and forecasting of high-dimensional time series
Numerical illustration of a novel analysis framework for consensus-based optimization (CBO) and numerical experiments demonstrating the practicability of the method
R codes and dataset for the estimation of the high-dimensional state space model proposed in the paper "A dynamic factor model approach to incorporate Big Data in state space models for official statistics" with Franz Palm, Stephan Smeekes and Jan van den Brakel.
Characterization of intra-individual variability using physiologically relevant measurements provides important insights into fundamental biological questions ranging from cell type identity to tumor development. For each individual, the data measurements can be written as a matrix with the different subsamples of the individual recorded in the columns and the different phenotypic units recorded in the rows. Datasets of this type are called high-dimensional transposable data. The HDTD package provides functions for conducting statistical inference for the mean relationship between the row and column variables and for the covariance structure within and between the row and column variables.