This repository's size is over 1 GB. If it reaches 2 GB, we'll restrict the repository to read-only access.
This is the data and code for the paper Hernández-Lobato J. M., Lloyd J. R. and Hernández-Lobato D. Gaussian Process Conditional Copulas with Applications to Financial Time Series, In NIPS, 2013. The script R toyExample/toyExampleConditionalStudentCopula/experiment.R shows how to run the proposed Gaussian Process Conditional Copula on a small synthetic dataset. The results of Tables 4 and 5 in the paper are generated by running the R scripts experimentsCurrencies/generateTableLatexFinal/generateTable.R experimentsStocks/generateTableLatexFinal/generateTable.R each script has to be run from its corresponding folder. For example, to run experimentsStocks/generateTableLatexFinal/generateTable.R we have to go to the folder experimentsStocks/generateTableLatexFinal and once there, run $ R --no-save < generateTable.R There is a folder for the results of each time-series. For example, the results for the time series of currencies EUR-CHF can be found in the folder experimentsCurrencies/EURUSD-CHFUSD Similarly, there is a folder for the results of each method. For example, the results of the Student's t copula for the EUR-CHF time series are found in the folder experimentsCurrencies/EURUSD-CHFUSD/conditionalCopulaStoreHypers The experiments were performed using a computer cluster with about 500 nodes. The rolling-window experiment for each time series was split in different chunks of training/test operations. For example, the time series for the EUR-CHF was split in 308 chunks which were analyzed in parallel. The results of the conditional Student's t copula on the 10th of these chunks can be found in the folder experimentsCurrencies/EURUSD-CHFUSD/conditionalCopulaStoreHypers/simulation10/results The results for that chunk are generated by running the R script experimentsCurrencies/EURUSD-CHFUSD/conditionalCopulaStoreHypers/simulation10/runExperient.R You may need to compile some of the c files to run from R. For example, we can compile the file toyExample/toyExampleConditionalStudentCopula/refineLikelihoodFastNu.c by typing $ R CMD SHLIB toyExample/toyExampleConditionalStudentCopula/refineLikelihoodFastNu.c