Multivariate NIG fit
It fits a multivariate normal inverse gaussian distribution to your data
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Well, i made this function some time ago and its purpose was to fit the Universe of the Greek stock market. After having grabbed my information to some matrices, vectors, god knows what, i decided to use it to price interest rate derivatives! I wont tell how, but you might as well try it as well.
Acknowledgements goes to Dr. Dimitris Karlis with whom I had some mathematical journeys from time to time
Cite As
Panagiotis Braimakis (2026). Multivariate NIG fit (https://www.mathworks.com/matlabcentral/fileexchange/12400-multivariate-nig-fit), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (1.58 KB)
-
No License
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
