Bigsimr.jl

Simulate multivariate distributions with arbitrary marginals. (by SchisslerGroup)

Bigsimr.jl Alternatives

Similar projects and alternatives to Bigsimr.jl

NOTE: The number of mentions on this list indicates mentions on common posts plus user suggested alternatives. Hence, a higher number means a better Bigsimr.jl alternative or higher similarity.

Bigsimr.jl reviews and mentions

Posts with mentions or reviews of Bigsimr.jl. We have used some of these posts to build our list of alternatives and similar projects. The last one was on 2022-04-23.
  • Is it possible to create a Python package with Julia and publish it on PyPi?
    6 projects | /r/Julia | 23 Apr 2022
    One more example for you. Our group wrote our core package in Julia called Bigsimr.jl (here) and then wrote interfaces to it for R (here and on cran) and Python (here and on PyPi)
  • some may hate it, some may love it
    5 projects | /r/Julia | 27 Jun 2021
    Mostly, but I used it to write a package that does multivariate simulation via gaussian copulas with correlation matching. You can find it here.
  • Copula: Can someone explain this code?
    1 project | /r/rstats | 10 Jun 2021
    We wrote a Julia package that can do this called Bigsimr which also has an R interface. Message me if you have more questions.
  • [D] What's your favorite concept/rule/theorem in statistics and why?
    3 projects | /r/statistics | 27 Apr 2021
    I wrote a Julia library that basically applies this idea, but extends it to multivariate distributions. We sample from a multivariate normal, transform the margins to uniform (via the normal cdf), and then transform to the desired distribution using the margins inverse cdf's (called the NORTA algorithm). The caveat is that this transformation is non-linear, so the correlation matrix used to generate the multivariate normal samples is generally not the same as the correlation after transformation. We account for this by numerically solving for the n*(n-1)/2 double integrals to determine what input correlation is necessary to get the desired output correlation. This paper describes the full problem and method for solving.
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    www.influxdata.com | 3 May 2024
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Stats

Basic Bigsimr.jl repo stats
4
4
8.1
about 1 month ago

SchisslerGroup/Bigsimr.jl is an open source project licensed under MIT License which is an OSI approved license.

The primary programming language of Bigsimr.jl is Julia.


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