Moritz Schauer

CausalInference.jl. Causal inference, graphical models and structure learning in Julia

Bridge.jl. A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.

ZigZagBoomerang.jl. Sleek implementations of the ZigZag, Boomerang and other assorted piecewise deterministic Markov processes for Markov Chain Monte Carlo including Sticky PDMPs for variable selection

Kalman.jl. Flexible filtering and smoothing in Julia

Mitosis.jl. Automatic probabilistic programming for scientific machine learning and dynamical models

DynamicIterators.jl. Iterators with message passing and feedback loops

GaussianDistributions.jl. Gaussian distributions as state variables and for uncertainty quantification with Unitful

GoldenSequences.jl. Generalized golden sequences, a form of low discrepancy sequence or quasi random numbers

MitosisStochasticDiffEq.jl. Backward-filtering forward-guiding with StochasticDiffEq.jl

MicrostructureNoise.jl. Nonparametric Bayesian volatility learning under microstructure noise

PointProcessInference.jl. Statistical inference for Poisson Processes

IDRsSolver.jl. ++ incorporated into https://github.com/JuliaLang/IterativeSolvers.jl ++ Induced Dimension Reduction method IDR(s) for solving general non-symmetric linear equations using a Krylov method, for example ordinary linear equations or Sylvester and Stein equations.

Trajectories.jl. Maps from the line into spaces

BridgeLandmarks.jl. Image analysis and stochastic processes on shape and landmark spaces.

BayesEstDiffusion.jl. Code accompanying the paper Frank van der Meulen, Moritz Schauer: Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals

SDE.jl. This package is obsoleted by https://github.com/mschauer/Bridge.jl

Gaussian-conditional-distributions. Community document on Gaussian conditional distributions (draft, LaTeX)

BridgeSPDE.jl. Stochastic partial differential equations with Bridge.jl

nonparbayes. Tour through non-parametric Bayesian regression in Fourier domain using Julia https://mschauer.github.io/nonparbayes/

StructuresSeminar. Statistics for Structures Seminar

Schauder.jl. A graphical perspective on Gauss-Markov process priors and fast sparse Cholesky for hierarchically structured (generalized arrow) matrices

DiffusionDefinition.jl. Structured way of defining diffusion processes

FingerTrees.jl. The persistent data structure Finger Tree in Julia

PhyloInference.jl. Bayesian Inference for trait evolution on phylogenetic trees

ncov_incubation. Estimating the incubation time of the Wuhan coronavirus based on traveler data using coarse data tools

BridgeSDEInference.jl. Inference for diffusion processes with the use of `Guided Proposals`