Python / C++ Projects:
This package enables converting NumPy arrays to C++ Armadillo matrices. It is essentially RcppArmadillo for Python. It is built on top of Pybind11.
This package provides various methods for possibly high-dimensional filtering in Python. Most notably, it has a fast, numerically-stable implementation of the Kalman filter built using C++ with Python bindings.
This package provides code for Bayesian nonparametric conditional density estimation. It is associated with Feasible Multivariate Density Estimation.
This package provides code for realized volatility estimation in the presence of jumps. It is associated with Jumps, Realized Densities, and News Premia.