This is a collection of advanced statistics algorithms.

• cointegration
• covariance selection
• factor analysis
• hidden Markov model (Rabiner)
• hidden Markov model (mixture models: Beta, Binomial, Exponential, Gamma, Log-Normal, Normal, Poisson)
• hypothesis testing
• Kalman filter
• LASSO (Least Absolute Shrinkage and Selection Operator)
• linear regression
• principal component analysis
• stochastic process simulation
• time series analysis