Rank: 3697 based on 8 downloads (last 30 days) and 1 file submitted
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Saket Sathe

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19 Jun 2006 Screenshot Esitmation of Multivariate Generalized Hyperbolic Distributions (MGHD) This program uses a multi-cycle Expectation-Conditional Maximization algorithm to estimate parametes Author: Saket Sathe finance, modeling, analysis, multivariate, generalized hyperboli..., ecm algorithm 8 3
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31 Oct 2007 Esitmation of Multivariate Generalized Hyperbolic Distributions (MGHD) This program uses a multi-cycle Expectation-Conditional Maximization algorithm to estimate parametes Author: Saket Sathe Shvorob, Dimitri

Please move the submission to Statistics category. Btw, the PDF file doesn't open.
30 Sep 2007 Esitmation of Multivariate Generalized Hyperbolic Distributions (MGHD) This program uses a multi-cycle Expectation-Conditional Maximization algorithm to estimate parametes Author: Saket Sathe Lazuk, Sergei

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
13 Jul 2007 Esitmation of Multivariate Generalized Hyperbolic Distributions (MGHD) This program uses a multi-cycle Expectation-Conditional Maximization algorithm to estimate parametes Author: Saket Sathe Jianlong, zhang

I make a program about that, but it is not so good, I will stduy your program in detail, than you!
03 Aug 2006 Esitmation of Multivariate Generalized Hyperbolic Distributions (MGHD) This program uses a multi-cycle Expectation-Conditional Maximization algorithm to estimate parametes Author: Saket Sathe She, he
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analysis, corr, ecm algorithm, finance, generalized hyperbolic distribution
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19 Jun 2006 Screenshot Esitmation of Multivariate Generalized Hyperbolic Distributions (MGHD) This program uses a multi-cycle Expectation-Conditional Maximization algorithm to estimate parametes Author: Saket Sathe finance, modeling, analysis, multivariate, generalized hyperboli..., ecm algorithm 8 3
  • 2.5
2.5 | 4 ratings

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