FQBIED: MATLAB functions for "Inference for vast dimensional elliptical distributions"
AbstractThese 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.
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Bibliographic InfoSoftware component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number ZIP12001.
Programming language: MATLAB
Requires: MATLAB (tested on MATLAB R2009b).
Date of creation: 10 Oct 2012
Date of revision:
Quantiles; Elliptical family; Elliptical stable distribution; Multivariate Student-t distribution; Simulations; Estimation; Heavy tails.; reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
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