Code covered by the BSD License
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[p mlv]=cmlstat(family,x)
CMLSTAT Estimates copula parameter(s), given sample X.
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bernsteincop(x,g)
BERNSTEINCOP Bernstrein Empirical copula based on sample X.
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claytoncml(alpha,u,v)
FRANKCML Maximum Likelihood Function for Clayton copula.
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copulaparam(type,tau)
COPULAPARAM Copula parameter, given Kendall's rank correlation.
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corrtest(R)
CORRTEST tests if R is correlation matrix.
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debye1(x)
DEBYE1 First order Debye function.
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ecopula(x)
ECOPULA Empirical copula based on sample X.
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frankcml(alpha,u,v)
FRANKCML Maximum Likelihood Function for Frank copula.
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gausscml(alpha,u,v)
GAUSSCML Maximum Likelihood Function for Gauss copula.
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gumbelcml(alpha,u,v)
FRANKCML Maximum Likelihood Function for Gumbel copula.
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kfun(family,x,alpha)
KFUN Goodness-of-fit test for Archimedean copulas.
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mvcoprnd(family,theta,m,n,nu)
MVCOPRND Random numbers from multivariate copula.
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tcml(theta,u,v)
TCML Maximum Likelihood Function for t copula.
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View all files
from
Copula generation and estimation
by Robert Kopocinski
Copula functions written for Master Thesis.
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| debye1(x)
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function D1 = debye1(x)
%DEBYE1 First order Debye function.
% Y = DEBYE1(X) returns the first order Debye function, evaluated at X.
% X is a scalar. For positive X, this is defined as
%
% (1/x) * integral from 0 to x of (t/(exp(t)-1)) dt
% A proper FORTRAN implementation of this function is available in the
% MISCFUN Package written by Alan MacLead, available as TOMS Algorithm 757
% in ACM Transactions of Mathematical Software (1996), 22(3):288-301.
% Written by Peter Perkins, The MathWorks, Inc.
% Revision: 1.0 Date: 2003/09/05
% This function is not supported by The MathWorks, Inc.
%
% Requires MATLAB R13.
if abs(x) >= realmin
D1 = quad(@debye1_integrand,0,abs(x))./abs(x) - (x < 0).*x./2;
else
D1 = 1;
end
function y = debye1_integrand(t)
y = ones(size(t));
nz = (abs(t) >= realmin);
y(nz) = t(nz)./(exp(t(nz))-1);
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