Esitmation of Multivariate Generalized Hyperbolic Distributions (MGHD)

Version 1.0.0.0 (6.4 KB) by Saket Sathe
This program uses a multi-cycle Expectation-Conditional Maximization algorithm to estimate parametes
2.7
(7)
2.2K Downloads
Updated 19 Jun 2006

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I have tested this code for a 15-dim MGHD PDF. Please take a look at the README for further details.

Cite As

Saket Sathe (2024). Esitmation of Multivariate Generalized Hyperbolic Distributions (MGHD) (https://www.mathworks.com/matlabcentral/fileexchange/11458-esitmation-of-multivariate-generalized-hyperbolic-distributions-mghd), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R13
Compatible with any release
Platform Compatibility
Windows macOS Linux
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multiGHD_mcecm/

Version Published Release Notes
1.0.0.0