imclab/python-numerics

Numerical machines in Python

A collection of numerical python recipes

###Damerau-Lenenshtein Distance An implementation of the DL distance, used to measure the "distance" (as defined by number of deletions, substitutions, transpositions and insertaions) between two strings. I use it to detect swear words and their misspellings.

###Discrete Option Pricing Contains functions and classes to compute financial derivatives using discrete pricing theory. Mostly recursion.

###Discrete SDE Robust classes/methods to simulate stochastic differential equations using a discretization scheme. Includes Euler, Milstein and Second-Order scheme. To be implemented into PyProcess.

###Estimators Some useful estimators of regression and others.

###Machine Learning Scikit Learn Some scikit-learn-friendly machine learning classes.

###Monte Carlo A collection of tools to sample from a variety of distributions and evaluating integrals. Include bivariate copula sampling, markov chain monte carlo, and numerical integration (with variance reduction support).

###Multinomial Markov And Encoding Create a multinomial markov chain (plus some awesome sampling and conditional sampling algos) from encoded data. See my password analysis for a use and creation of it.

###Numerical Derivatives Compute the derivative of functions a points using discrete schemes. Has a great recursive solution to solving problem:

Given a multivariate CDF, how can I computationally, and efficiently, find its pdf?

This problem occurs in copula sampling often.

###Time Series Some time series helpers and utilities

###utils Some nice utils to have around.

Author: Cameron Davidson-Pilon camdp.com

Contact me at: [email protected] @cmrndp