FQBIED: MATLAB functions for "Inference for vast dimensional elliptical distributions"

Yves Dominicy, Hiroaki Ogata and David Veredas

HSC Software from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: These functions are Matlab implementations of the quantile based method for elliptical distributions brought forward in the paper "Inference for vast dimensional elliptical distributions" (forthcoming in Computational Statistics). They are implemented for the elliptical stable distribution and the multivariate Student-t distribution. The zip file contains 6 functions: FQBIED_ESD_MC.m, FQBIED_St_MC.m, multrndst.m, multrndstable.m, stable.m, stablefit.m.

Language: MATLAB
Requires: MATLAB (tested on MATLAB R2009b).
Keywords: Quantiles; Elliptical family; Elliptical stable distribution; Multivariate Student-t distribution; Simulations; Estimation; Heavy tails. (search for similar items in EconPapers)
Date: 2012-10-10
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Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/FQBIED.zip Zipped file with Matlab functions (application/zip)

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Persistent link: https://EconPapers.repec.org/RePEc:wuu:hscode:zip12001

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