HSC Software

From Hugo Steinhaus Center, Wroclaw University of Science and Technology
Contact information at EDIRC.
Bibliographic data for series maintained by Rafal Weron ().

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ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting": Bartosz Uniejewski, Jakub Nowotarski and Rafał Weron (2018-09-09)
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting": Bartosz Uniejewski, Jakub Nowotarski and Rafał Weron (2018-09-09)
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model: Rafał Weron (2017-04-28)
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model: Jakub Nowotarski and Rafał Weron (2016-07-23)
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting": Jakub Nowotarski and Rafał Weron (2016-07-23)
AKS_Simulation: Standalone application for simulating cellular automata: Agnieszka Kowalska-Styczen (2016-02-24)
QRA: MATLAB function to compute interval forecasts using Quantile Regression Averaging (QRA): Jakub Nowotarski (2014-07-30)
AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method: Rafał Weron (2014-06-21)
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation): Rafał Weron (2014-01-06)
The World According to Spinson (WAS): Standalone application for simulating agent-based models: Piotr Przybyla, Katarzyna Sznajd-Weron and Rafał Weron (2013-05-08)
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices": Jakub Nowotarski and Rafał Weron (2013-04-27)
LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods: Jakub Nowotarski, Jakub Tomczyk and Rafał Weron (2013-04-26)
LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods: Jakub Nowotarski, Jakub Tomczyk and Rafał Weron (2013-04-08)
LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods: Jakub Nowotarski, Jakub Tomczyk and Rafał Weron (2013-04-08)
FQBIED: MATLAB functions for "Inference for vast dimensional elliptical distributions": Yves Dominicy, Hiroaki Ogata and David Veredas (2012-10-10)
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter: Joanna Janczura and Rafał Weron (2012-04-15)
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series: Rafał Weron (2012-04-15)
HMM_EST: MATLAB function to estimate parameters of a 2-state Hidden Markov Model (HMM): Joanna Janczura (2012-04-14)
VAR_AND_ES: SHAZAM code for computing VaR and Expected Shortfall: Ibrahim Onour (2012-04-04)
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails: Joanna Janczura and Rafał Weron (2012-03-03)
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans': Joanna Janczura and Rafał Weron (2012-03-03)
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes: Joanna Janczura and Rafał Weron (2011-10-10)
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes: Joanna Janczura and Rafał Weron (2011-10-10)
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes: Joanna Janczura and Rafał Weron (2011-10-10)
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes: Joanna Janczura and Rafał Weron (2011-10-03)
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model: Joanna Janczura and Rafał Weron (2011-10-03)
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model: Joanna Janczura and Rafał Weron (2011-10-03)
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes: Joanna Janczura and Rafał Weron (2011-10-03)
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes: Joanna Janczura and Rafał Weron (2011-10-03)
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method): Rafał Weron (2011-09-30)
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA): Rafał Weron (2011-09-30)
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis: Rafał Weron (2011-09-30)
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model": Agnieszka Janek and Rafał Weron (2010-12-27)
STF2HES: MATLAB functions for "FX smile in the Heston model": Agnieszka Janek and Rafał Weron (2010-12-27)
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM): Rafał Weron (2010-12-27)
COR: MATLAB function to compute the correlation coefficients: Joanna Nowicka-Zagrajek and Rafał Weron (2008-06-27)
MFE Toolbox ver. 1.0.1 for MATLAB: Rafał Weron, Jakub Jurdziak and Adam Misiorek (2007-11-05)
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage: Rafał Weron (2007-09-09)
PERIODOG: MATLAB function to compute and plot the periodogram of a time series: Rafał Weron (2006-09-23)
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models": Adam Misiorek, Stefan Trueck and Rafał Weron (2006-07-19)
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB: Rafał Weron (1998-12-01)