Parameter Estimation Technique for general datasets

Version 1.0.0.0 (164 KB) by Moeti Ncube
An estimation procedure for many types of data
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Updated 10 Dec 2010

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In the paper "An estimation technique for Time Indexed gaussian Mixture Models", we propose a model specification that can be used to describe data with spikes, jumps, mean reversion, geometric brownian motion, you name it...

We then develop an estimation procedures to extract the parameters from data generated from this model.

The original intent was to develop a model for electricity price spike, however it can be extended far beyond this.

A more general extension of this basic idea using particle filtering is developed in another paper.

Cite As

Moeti Ncube (2024). Parameter Estimation Technique for general datasets (https://www.mathworks.com/matlabcentral/fileexchange/29669-parameter-estimation-technique-for-general-datasets), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009b
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Version Published Release Notes
1.0.0.0