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updated 5 years ago

ARMASA by Piet M T Broersen

Automatic program to estimate the power spectral density with only statistically significant details (spectral analysis, time series analysis, correlation analysis)

ASAaddpath

ASAarg(arg_in,arg_name,arg_type,varargin)

ASAerr(varargin)

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updated 6 years ago

Exact Negative Log-likelihood of ARMA models via Kalman Filtering by Statovic

Computation of the exact negative log-likelihood of ARMA models using the Kalman Filter (statistics, probability, arma)

arma_ACV(a, c, v, n)

arma_ConvertToSS(A, C, v)

arma_KalmanLikelihood(A, C, v, y, eps);

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updated 6 years ago

Monte Carlo simulations using MATLAB by Vincent Leclercq

Demonstrations of Monte Carlo simulations in MATLAB (finance, modeling, analysis)

BlsHalton(S0,X,r,T,sigma,NPoints)

BlsMC(S0,X,r,T,sigma,NRepl)

BlsMCAV(S0,X,r,T,sigma,NRepl)

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updated almost 7 years ago

Brownian Motion by Abhirup Lahiri

Function to simulate Brownian Motion (simulation, brownian, brownian motion)

simbrownian(t,n)

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