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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