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updated 3 months ago

Weighted Kendall Rank Correlation Matrix by Liber Eleutherios

Fast Weighted Kendall Rank Correlation Matrix (much much faster than Matlab CORR) (corrcoef, corr, weighted kendall rank...)

kendalltau(Y, w)

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updated almost 9 years ago

Esitmation of Multivariate Generalized Hyperbolic Distributions (MGHD) by Saket Sathe

This program uses a multi-cycle Expectation-Conditional Maximization algorithm to estimate parametes (finance, modeling, analysis)

[mu, lambda, gamma, Sigma, chi, psi]=multiGH_mcecm_clam_f...



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