Esitmation of Multivariate Generalized Hyperbolic Distributions (MGHD)

This program uses a multi-cycle Expectation-Conditional Maximization algorithm to estimate parametes

Description

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

• Required Products: Statistics Toolbox
• MATLAB release: MATLAB 6.5 (R13)
• Other requirements: 'randraw' is required by this program.'randraw' is available here: http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=7309&objectType=File

[he She]

 

[zhang Jianlong]

I make a program about that, but it is not so good, I will stduy your program in detail, than you!

[Sergei Lazuk]

Hi Saket!
Why dont you use w in the mean function when you generate random variables drawn from GH?
Should not formula be:
x=mu+W*Gamma+sqrt(W)*cov?
Greets
sergei

[Dimitri Shvorob]

Please move the submission to Statistics category. Btw, the PDF file doesn't open.

[Alex Zhou]

 

[Alex Zhou]

The representation of Psi(Sigma) is wrong, which made it not positive definite.

BTW: the code is slow, and can be improved by changing all the for loops to matrix operations.