Building blocks for trend-following CTA strategies: scale-free oscillators, volatility-adjusted returns, matrix shrinkage and a position engine
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Oct 6, 2026 - Python
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shrinkage
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Code for the paper E. Raninen and E. Ollila, “Coupled regularized sample covariance matrix estimator for multiple classes,” in IEEE Transactions on Signal Processing, vol. 69, pp. 5681–5692, 2021, doi: 10.1109/TSP.2021.3118546.
high-dimensional-data regularization covariance-matrix shrinkage discriminant-analysis elliptical-distribution regularized-discriminant-analysis
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Apr 28, 2022 - Python
Nested Cross-Validation for Bayesian Optimized Linear Regularization
ridge-regression bayesian-optimization elasticnet lasso-regression shrinkage nested-cross-validation
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May 21, 2020 - Python
Sliding Filter for AWGN Denoising
image sparsity signal-processing image-processing noise fft wavelet image-analysis filtering digital-image-processing noise-reduction gaussian-filter dct awgn denoising shrinkage wavelet-transform sliding-window denoiser sliding-filter
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Apr 19, 2023 - Python
Where does a subject's own record beat their reference class? Pilot measurement of the IREP premise on 69 seasons of the Lahman Baseball Database; hypotheses frozen for a confirmatory second domain.
reproducible-research forecasting baseball shrinkage sabermetrics empirical-bayes lahman-database irep
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Aug 27, 2026 - Python
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