Martin Magris
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Feeds
A soumis
Isolines (quantiles) of bivariate normal distribution
Calculates the elliptic isolines corresponding to quantiles of bivariate normal distribution
presque 4 ans il y a | 1 téléchargement |
A soumis
Breusch-Pagan test
Breusch-Pagan test for heteroskedasticity in a linear regression model (original and Koenker's versions).
presque 4 ans il y a | 14 téléchargements |
A soumis
Fast and essential linear regression
Essential, fast and efficient simple linear regression
environ 4 ans il y a | 1 téléchargement |
A soumis
Unobservable Selection and Coefficient Stability
Implementation of: "Unobservable selection and coefficient stability: Theory and evidence.", Oster E, JBES 37.2 (2019)
environ 4 ans il y a | 1 téléchargement |
A soumis
Compound Poisson distribution (CDF, PDF, random number)
CDF/PDF and random number generator for a compound Poisson distribution with jumps distributed according to iid gamma distributi...
plus de 4 ans il y a | 1 téléchargement |
A soumis
VIX and CX
Implementation of (CBOE's) VIX and CX (Corridor implied Volatility) indexes from option data
plus de 4 ans il y a | 1 téléchargement |
A soumis
Lee Mykland nonparametric jump detection
Nonparametric jump detection method
environ 5 ans il y a | 2 téléchargements |
A résolu
Elapsed Time
Given two date strings d1 and d2 of the form yyyy/mm/dd HH:MM:SS (assume hours HH is in 24 hour mode), determine how much time, ...
environ 5 ans il y a
A soumis
Inverse empirical cumulative distribution function
Quantile function or inverse-ECDF of some data-sample. Data is finite and the ECDF from which the inverse is taken is discontiuo...
environ 5 ans il y a | 7 téléchargements |
A soumis
Log-likelihood of the Hawkes process
Log-likelihood of the univariate Hawkes process with exponential kernel of order one.
plus de 5 ans il y a | 2 téléchargements |
A soumis
COS method (Fang, Osterlee)
Evaluating PDF and CDF given the characteristic function via COS (Fourier-cosine) method
presque 6 ans il y a | 4 téléchargements |
A soumis
Detrended fluctuation analysis (DFA)
Function and examples for running DFA
presque 6 ans il y a | 17 téléchargements |
Question
Plot financial data continuously in time
<</matlabcentral/answers/uploaded_files/106754/example_commented.png>> Unfortunately couldn't find an existing topic on the f...
environ 6 ans il y a | 2 réponses | 0
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