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Inviato
Isolines (quantiles) of bivariate normal distribution
Calculates the elliptic isolines corresponding to quantiles of bivariate normal distribution
oltre 5 anni fa | 1 download |
Inviato
Breusch-Pagan test
Breusch-Pagan test for heteroskedasticity in a linear regression model (original and Koenker's versions).
oltre 5 anni fa | 8 download |
Inviato
Fast and essential linear regression
Essential, fast and efficient simple linear regression
quasi 6 anni fa | 1 download |
Inviato
Unobservable Selection and Coefficient Stability
Implementation of: "Unobservable selection and coefficient stability: Theory and evidence.", Oster E, JBES 37.2 (2019)
quasi 6 anni fa | 2 download |
Inviato
Compound Poisson distribution (CDF, PDF, random number)
CDF/PDF and random number generator for a compound Poisson distribution with jumps distributed according to iid gamma distributi...
quasi 6 anni fa | 2 download |
Inviato
VIX and CX
Implementation of (CBOE's) VIX and CX (Corridor implied Volatility) indexes from option data
circa 6 anni fa | 1 download |
Inviato
Lee Mykland nonparametric jump detection
Nonparametric jump detection method
quasi 7 anni fa | 1 download |
Risolto
Elapsed Time
Given two date strings d1 and d2 of the form yyyy/mm/dd HH:MM:SS (assume hours HH is in 24 hour mode), determine how much time, ...
quasi 7 anni fa
Inviato
Inverse empirical cumulative distribution function
Quantile function or inverse-ECDF of some data-sample. Data is finite and the ECDF from which the inverse is taken is discontiuo...
quasi 7 anni fa | 2 download |
Inviato
Log-likelihood of the Hawkes process
Log-likelihood of the univariate Hawkes process with exponential kernel of order one.
oltre 7 anni fa | 1 download |
Inviato
COS method (Fang, Osterlee)
Evaluating PDF and CDF given the characteristic function via COS (Fourier-cosine) method
oltre 7 anni fa | 5 download |
Inviato
Detrended fluctuation analysis (DFA)
Function and examples for running DFA
oltre 7 anni fa | 7 download |
Domanda
Plot financial data continuously in time
<</matlabcentral/answers/uploaded_files/106754/example_commented.png>> Unfortunately couldn't find an existing topic on the f...
quasi 8 anni fa | 2 risposte | 0
