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1. Singular-Spectrum-Analysis Singular-Spectrum-Analysis Public

   FFT-accelerated Singular Spectrum Analysis in C. SSA at the speed of FFT. Decompose time series into trend, seasonality & noise. O(N log N) Hankel matvec.

   C

2. Rao-Blackwellized-Particle-Filter Rao-Blackwellized-Particle-Filter Public

   A production-grade particle filter implementation using the Kim-Shephard-Chib (1998) observation model with Omori et al. (2007) 10-component mixture approximation. Optimized for sub-20μs latency on…

   C

3. Particle-Filter-2D Particle-Filter-2D Public

   High-performance 2D particle filter for stochastic volatility estimation. Intel MKL-accelerated, AVX2-optimized, ~36k ticks/sec at N=4000.

   C

4. Square-Root-UKF Square-Root-UKF Public

   Optimized and MKL-accelerated Square-Root Unscented Kalman Filter with Student-t outlier rejection.

   C

5. Savitzky-Golay-Filter Savitzky-Golay-Filter Public

   Microcontroller friendly, efficient Savitzky-Golay Implementation with Gram Polynomials and Memoization

   C++ 21 3

6. VectorFFT VectorFFT Public

   VectorFFT is a vectorized, pure C FFT library optimized for x86 processors (AVX-512, AVX2, SSE2) with zero external dependencies. It implements mixed-radix algorithms for common sizes and Bluestein…

   C 4 1