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

Author

Listed:
  • 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.

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

    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. The stock market and happiness
      by UDADISI in UDADISI on 2012-08-01 23:55:00

    Citations

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    Cited by:

    1. Tonzer, Lena, 2017. "Uncertainty, financial crises, and subjective well-being," IWH Discussion Papers 2/2017, Halle Institute for Economic Research (IWH).
    2. Anita Ratcliffe & Karl Taylor, 2013. "Who Cares about Stock Market Booms and Busts? Evidence from Data on Mental Wellbeing," Working Papers 2012021, The University of Sheffield, Department of Economics.
    3. Frijters, Paul & Johnston, David W. & Shields, Michael A. & Sinha, Kompal, 2015. "A lifecycle perspective of stock market performance and wellbeing," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 237-250.

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