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

Author

Listed:
  • Yves Dominicy
  • Hiroaki Ogata
  • David Veredas

Programming Language

MATLAB

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.

Suggested Citation

  • Yves Dominicy & Hiroaki Ogata & David Veredas, 2012. "FQBIED: MATLAB functions for "Inference for vast dimensional elliptical distributions"," HSC Software ZIP12001, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:hscode:zip12001
    as

    Download full text from publisher

    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/FQBIED.zip
    File Function: Zipped file with Matlab functions
    Download Restriction: no
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