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

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Author Info

  • Yves Dominicy
  • Hiroaki Ogata
  • David Veredas

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.

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

Bibliographic Info

Software component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number ZIP12001.

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Size:
Programming language: MATLAB
Requires: MATLAB (tested on MATLAB R2009b).
Date of creation: 10 Oct 2012
Date of revision:
Handle: RePEc:wuu:hscode:zip12001

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Related research

Keywords: Quantiles; Elliptical family; Elliptical stable distribution; Multivariate Student-t distribution; Simulations; Estimation; Heavy tails.;

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