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NFCP - N-Factor Commodity Pricing Through Term Structure Estimation

Commodity pricing models are (systems of) stochastic differential equations that are utilized for the valuation and hedging of commodity contingent claims (i.e. derivative products on the commodity) and other commodity related investments. Commodity pricing models that capture market dynamics are of great importance to commodity market participants in order to exercise sound investment and risk-management strategies. Parameters of commodity pricing models are estimated through maximum likelihood estimation, using available term structure futures data of a commodity. 'NFCP' (n-factor commodity pricing) provides a framework for the modeling, parameter estimation, probabilistic forecasting, option valuation and simulation of commodity prices through state space and Monte Carlo methods, risk-neutral valuation and Kalman filtering. 'NFCP' allows the commodity pricing model to consist of n correlated factors, with both random walk and mean-reverting elements. The n-factor commodity pricing model framework was first presented in the work of Cortazar and Naranjo (2006) <doi:10.1002/fut.20198>. Examples presented in 'NFCP' replicate the two-factor crude oil commodity pricing model presented in the prolific work of Schwartz and Smith (2000) <doi:10.1287/mnsc.46.7.893.12034> with the approximate term structure futures data applied within this study provided in the 'NFCP' package.

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archivedpackagesr-universe

3.40 score 5 stars 238 downloads

RSGHB - Functions for Hierarchical Bayesian Estimation: A Flexible Approach

Functions for estimating models using a Hierarchical Bayesian (HB) framework. The flexibility comes in allowing the user to specify the likelihood function directly instead of assuming predetermined model structures. Types of models that can be estimated with this code include the family of discrete choice models (Multinomial Logit, Mixed Logit, Nested Logit, Error Components Logit and Latent Class) as well ordered response models like ordered probit and ordered logit. In addition, the package allows for flexibility in specifying parameters as either fixed (non-varying across individuals) or random with continuous distributions. Parameter distributions supported include normal, positive/negative log-normal, positive/negative censored normal, and the Johnson SB distribution. Kenneth Train's Matlab and Gauss code for doing Hierarchical Bayesian estimation has served as the basis for a few of the functions included in this package. These Matlab/Gauss functions have been rewritten to be optimized within R. Considerable code has been added to increase the flexibility and usability of the code base. Train's original Gauss and Matlab code can be found here: <http://elsa.berkeley.edu/Software/abstracts/train1006mxlhb.html> See Train's chapter on HB in Discrete Choice with Simulation here: <http://elsa.berkeley.edu/books/choice2.html>; and his paper on using HB with non-normal distributions here: <http://eml.berkeley.edu//~train/trainsonnier.pdf>. The authors would also like to thank the invaluable contributions of Stephane Hess and the Choice Modelling Centre: <https://cmc.leeds.ac.uk/>.

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archivedpackagesr-universe

2.83 score 5 stars 1.3k downloads

PersianStemmer - Persian Stemmer for Text Analysis

Allows users to stem Persian texts for text analysis.

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archivedpackagesr-universe

2.48 score 5 stars 2 dependents 7 scripts 108 downloads

HealthMarkers - Toolkit for Clinical, Metabolic, and Cardiovascular Biomarker Calculations

Computes over 50 specialist health marker functions covering insulin sensitivity and resistance indices (fasting, oral glucose tolerance test, adipose-tissue, tracer, and dual-energy X-ray absorptiometry (DXA)-based), glycaemic and lipid markers, atherogenic and metabolic syndrome scores, liver steatosis and fibrosis scores, and cardiovascular risk algorithms (Framingham Heart Study equations, atherosclerotic cardiovascular disease (ASCVD) Pooled Cohort Equations, the QRISK3 cardiac risk score, and Systematic Coronary Risk Evaluation 2 (SCORE2) including the Older Persons variant (SCORE2-OP)). Also implements renal function (estimated glomerular filtration rate (eGFR), Kidney Failure Risk Equation (KFRE), chronic kidney disease (CKD) staging), pulmonary function (spirometry z-scores, Body-mass index, airflow Obstruction, Dyspnea, and Exercise capacity index (BODE)), inflammatory markers and the inflammatory age clock (iAge), hormonal panels, body composition and anthropometric z-scores, bone turnover markers and fracture risk (Fracture Risk Assessment Tool (FRAX)), frailty and comorbidity indices (Rockwood, Charlson), psychiatric rating scales, and biomarker panels from alternative biofluids (urine, saliva, sweat). Missing value imputation helpers, pre or post computation normalization and a unified all_health_markers() dispatcher that returns all requested marker groups as a single wide tibble are included.

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archivedpackagesr-universe

2.40 score 5 stars 229 downloads

itsdm - Isolation Forest-Based Presence-Only Species Distribution Modeling

Collection of R functions to do purely presence-only species distribution modeling with isolation forest (iForest) and its variations such as Extended isolation forest and SCiForest. See the details of these methods in references: Liu, F.T., Ting, K.M. and Zhou, Z.H. (2008) <doi:10.1109/ICDM.2008.17>, Hariri, S., Kind, M.C. and Brunner, R.J. (2019) <doi:10.1109/TKDE.2019.2947676>, Liu, F.T., Ting, K.M. and Zhou, Z.H. (2010) <doi:10.1007/978-3-642-15883-4_18>, Guha, S., Mishra, N., Roy, G. and Schrijvers, O. (2016) <https://proceedings.mlr.press/v48/guha16.html>, Cortes, D. (2021) <doi:10.48550/arXiv.2110.13402>. Additionally, Shapley values are used to explain model inputs and outputs. See details in references: Shapley, L.S. (1953) <doi:10.1515/9781400881970-018>, Lundberg, S.M. and Lee, S.I. (2017) <https://dm-gatech.github.io/CS8803-Fall2018-DML-Papers/shapley.pdf>, Molnar, C. (2020) <ISBN:978-0-244-76852-2>, Štrumbelj, E. and Kononenko, I. (2014) <doi:10.1007/s10115-013-0679-x>. itsdm also provides functions to diagnose variable response, analyze variable importance, draw spatial dependence of variables and examine variable contribution. As utilities, the package includes a few functions to download bioclimatic variables including 'WorldClim' version 2.0 (see Fick, S.E. and Hijmans, R.J. (2017) <doi:10.1002/joc.5086>) and 'CMCC-BioClimInd' (see Noce, S., Caporaso, L. and Santini, M. (2020) <doi:10.1038/s41597-020-00726-5>.

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archivedpackagesr-universe

4.69 score 5 stars 65 scripts 175 downloads

foreSIGHT - Systems Insights from Generation of Hydroclimatic Timeseries

A tool to create hydroclimate scenarios, stress test systems and visualize system performance in scenario-neutral climate change impact assessments. Scenario-neutral approaches 'stress-test' the performance of a modelled system by applying a wide range of plausible hydroclimate conditions (see Brown & Wilby (2012) <doi:10.1029/2012EO410001> and Prudhomme et al. (2010) <doi:10.1016/j.jhydrol.2010.06.043>). These approaches allow the identification of hydroclimatic variables that affect the vulnerability of a system to hydroclimate variation and change. This tool enables the generation of perturbed time series using a range of approaches including simple scaling of observed time series (e.g. Culley et al. (2016) <doi:10.1002/2015WR018253>) and stochastic simulation of perturbed time series via an inverse approach (see Guo et al. (2018) <doi:10.1016/j.jhydrol.2016.03.025>). It incorporates 'Richardson-type' weather generator model configurations documented in Richardson (1981) <doi:10.1029/WR017i001p00182>, Richardson and Wright (1984), as well as latent variable type model configurations documented in Bennett et al. (2018) <doi:10.1016/j.jhydrol.2016.12.043>, Rasmussen (2013) <doi:10.1002/wrcr.20164>, Bennett et al. (2019) <doi:10.5194/hess-23-4783-2019> to generate hydroclimate variables on a daily basis (e.g. precipitation, temperature, potential evapotranspiration) and allows a variety of different hydroclimate variable properties, herein called attributes, to be perturbed. Options are included for the easy integration of existing system models both internally in R and externally for seamless 'stress-testing'. A suite of visualization options for the results of a scenario-neutral analysis (e.g. plotting performance spaces and overlaying climate projection information) are also included. Version 1.0 of this package is described in Bennett et al. (2021) <doi:10.1016/j.envsoft.2021.104999>. As further developments in scenario-neutral approaches occur the tool will be updated to incorporate these advances.

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archivedpackagesr-universecpp

3.28 score 5 stars 19 scripts 606 downloads

smallarea - Fits a Fay Herriot Model

Inference techniques for Fay Herriot Model.

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archivedpackagesr-universe

3.18 score 5 stars 1 dependents 9 scripts 182 downloads

DrDimont - Drug Response Prediction from Differential Multi-Omics Networks

While it has been well established that drugs affect and help patients differently, personalized drug response predictions remain challenging. Solutions based on single omics measurements have been proposed, and networks provide means to incorporate molecular interactions into reasoning. However, how to integrate the wealth of information contained in multiple omics layers still poses a complex problem. We present a novel network analysis pipeline, DrDimont, Drug response prediction from Differential analysis of multi-omics networks. It allows for comparative conclusions between two conditions and translates them into differential drug response predictions. DrDimont focuses on molecular interactions. It establishes condition-specific networks from correlation within an omics layer that are then reduced and combined into heterogeneous, multi-omics molecular networks. A novel semi-local, path-based integration step ensures integrative conclusions. Differential predictions are derived from comparing the condition-specific integrated networks. DrDimont's predictions are explainable, i.e., molecular differences that are the source of high differential drug scores can be retrieved. Our proposed pipeline leverages multi-omics data for differential predictions, e.g. on drug response, and includes prior information on interactions. The case study presented in the vignette uses data published by Krug (2020) <doi:10.1016/j.cell.2020.10.036>. The package license applies only to the software and explicitly not to the included data.

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archivedpackagesr-universe

2.70 score 5 stars 2 scripts 228 downloads

aLFQ - Estimating Absolute Protein Quantities from Label-Free LC-MS/MS Proteomics Data

Determination of absolute protein quantities is necessary for multiple applications, such as mechanistic modeling of biological systems. Quantitative liquid chromatography tandem mass spectrometry (LC-MS/MS) proteomics can measure relative protein abundance on a system-wide scale. To estimate absolute quantitative information using these relative abundance measurements requires additional information such as heavy-labeled references of known concentration. Multiple methods have been using different references and strategies; some are easily available whereas others require more effort on the users end. Hence, we believe the field might benefit from making some of these methods available under an automated framework, which also facilitates validation of the chosen strategy. We have implemented the most commonly used absolute label-free protein abundance estimation methods for LC-MS/MS modes quantifying on either MS1-, MS2-levels or spectral counts together with validation algorithms to enable automated data analysis and error estimation. Specifically, we used Monte-carlo cross-validation and bootstrapping for model selection and imputation of proteome-wide absolute protein quantity estimation. Our open-source software is written in the statistical programming language R and validated and demonstrated on a synthetic sample.

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archivedpackagesr-universe

2.54 score 5 stars 14 scripts 312 downloads