asymptotics

Benchmark a given function for variable input sizes and find out its time complexity

Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.

Framework for estimating parameters and the empirical sandwich covariance matrix from a set of unbiased estimating equations (i.e. M-estimation) in R.

Simulation Methods in Econometrics: Theory and Applications in MATLAB is a book that aims to bridge the gap between econometric theory and the practical use of simulation techniques. It emphasizes intuition, reproducibility, and accessibility.

Estimating route conditional travel time and its uncertainty.

Verifiable, step-by-step formal manipulation in Mathematica — series, sums, integrals, inequalities; the derivation is the proof.

Code for the papers "Faster Lead-Acid Battery Simulations from Porous Electrode Theory"

MATH3022 Scientific and Industrial Modelling at UWA

We derive asymptotic behavior of the probability of high-level excursion for the maximal increment of the Wiener process.

Fall 2022 CS61B Lecture Code.

Code for "Cross-Over Jackknife Bias Correction for Nonlinear/Nonstationary Panel" (with Victor Chernozhukov and Ivan Fernandez-Val)

Replication Files and Notes for: Level Breaks and Finite-Sample GLS Detrending: The Point-Optimal Unit Root Test and the Purchasing Power Parity Puzzle

We derive asymptotic behavior of the probability of high-level excursion for the maximal increment of a Gaussian random walk.

Random Data Structures & Algorithms code