I have log(return) data as time series, how I can fit this data in a Generalized Pareto distribution and estimate the parameters of this distribution, any kind of resource pointer with clear code ...
I'm looking for an implementation of a fast maximum rank correlation (MRC) estimator. This will be applied to large-ish sparse matrices (~100,000 by 10,000) in a text-mining application. I'm working ...
I am using scipy.stats.gaussian_kde to estimate a pdf for some data. The problem is that the resulting pdf takes values larger than 1. As far as I understand, this ...