Distributions

CDF, Inv-CDF, PDF, HF, CHF, Random Generator and Log Likelihood functions.

Contains the CDF, Inv-CDF, PDF, HF, CHF, Random Generator and Log Likelihood function of a number of Distributions.

distribution_cdf.m: Cumulative Distribution Function
distribution _inv.m: Inverse of the Cumulative Distribution Function
distribution _pdf.m: Probability Density Function
distribution _rnd.m: Returns random draws
distribution _hf.m: Hazard Function
distribution _chf.m: Cumulative Hazard Function
distribution _log.m: Log Likelihood function to estimate the scale parameters
(i.e. given a dataset, data, and an initial guess of parameters x0, the estimation is given as: x = fsolve('distribution_log',x0,[],data); )

The supported distributions are:
cauchy: Cauchy-Lorentz Distribution
gram-charlier: Gram-Charlier Expansion Series

Notes:
1. The distribution toolbox is an essential part of the Volatility Forecasting Toolbox in the estimation of VaR.
2. For the pdf, if plot option is set to 1, then the graph of the 3d-dimension pdf of the distribution is plotted; by default this option is disabled.

Please feel free to contact me with comments, suggestions, additions or bugfixes.