This package enables converting NumPy arrays to C++ Armadillo matrices. It is essentially RcppArmadillo for Python. It is built on top of Pybind11. (Gitlab)

cdpm

This package provides code for Bayesian nonparametric conditional density estimation. It is associated with Feasible Multivariate Density Estimation. (Gitlab)

laplacejumps

This package provides code for realized volatility estimation in the presence of jumps. It is associated with Jumps, Realized Densities, and News Premia. (Gitlab)

Coauthors:

Mike Johnson

Eric Renault