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updated 2 years ago

Weighted Kendall Rank Correlation Matrix by Francesco Pozzi

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 8 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...

debugmsg(string,variable,lines)

f=multiGH_randvar(n,mu,lambda,gamma,Sigma,chi,psi)

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