Skip to content
View gguljanov's full-sized avatar
6 followers · 13 following

Block or report gguljanov

Block user

Prevent this user from interacting with your repositories and sending you notifications. Learn more about blocking users.

You must be logged in to block users.

Please don't include any personal information such as legal names or email addresses. Maximum 100 characters, markdown supported. This note will be visible to only you.
Report abuse

Contact GitHub support about this user’s behavior. Learn more about reporting abuse.

Report abuse
gguljanov/README.md

About me

  • I am Gaygysyz (pronounced as Gaigisiz) Guljanov
  • statistician/econometrician by training with relevant machine learning experience.
  • recently defended my PhD thesis titled "Estimation of DSGE models: Skewness matters"

If you would like to collaborate on a project, do not hesitate to contact me.

Main Projects

Pruned Skewed Kalman Filter and Smoother: With Applications to the Yield Curve and Asymmetric Monetary Policy Shocks

A project from my doctoral thesis where I, together with co-authors,

  • developed pruning algorithm for the skewed Kalman filter
  • derived skewed Kalman smoother
  • estimated Yield Curve and a small-scale DSGE model assuming skewness for structural shocks

Pruned Skewed Kalman Filter

  • Implementation of Pruned Skewed Kalman Filter in Python, R, Julia, and MATLAB

More projects are coming

Pinned Loading

  1. pruned-skewed-kalman-paper pruned-skewed-kalman-paper Public

    Forked from wmutschl/pruned-skewed-kalman-paper

    Replication codes for paper on "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve"

    MATLAB

  2. pruned-skewed-kalman pruned-skewed-kalman Public

    R, Python, Julia and MATLAB codes for Pruned Skewed Kalman filter

    R 1 1

  3. hpfc hpfc Public

    Hourly Price Forward Curve (HPFC)

    TeX

  4. macro-econometrics macro-econometrics Public

    Macro-econometrics tutorial

    TeX