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Martin Magris


Last seen: 3 meses hace Con actividad desde 2018

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Enviada


Isolines (quantiles) of bivariate normal distribution
Calculates the elliptic isolines corresponding to quantiles of bivariate normal distribution

casi 4 años hace | 1 descarga |

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Enviada


Breusch-Pagan test
Breusch-Pagan test for heteroskedasticity in a linear regression model (original and Koenker's versions).

casi 4 años hace | 10 descargas |

Enviada


Fast and essential linear regression
Essential, fast and efficient simple linear regression

alrededor de 4 años hace | 1 descarga |

Enviada


Unobservable Selection and Coefficient Stability
Implementation of: "Unobservable selection and coefficient stability: Theory and evidence.", Oster E, JBES 37.2 (2019)

alrededor de 4 años hace | 1 descarga |

Enviada


Compound Poisson distribution (CDF, PDF, random number)
CDF/PDF and random number generator for a compound Poisson distribution with jumps distributed according to iid gamma distributi...

alrededor de 4 años hace | 2 descargas |

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Enviada


VIX and CX
Implementation of (CBOE's) VIX and CX (Corridor implied Volatility) indexes from option data

más de 4 años hace | 1 descarga |

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Enviada


Lee Mykland nonparametric jump detection
Nonparametric jump detection method

alrededor de 5 años hace | 5 descargas |

Resuelto


Elapsed Time
Given two date strings d1 and d2 of the form yyyy/mm/dd HH:MM:SS (assume hours HH is in 24 hour mode), determine how much time, ...

alrededor de 5 años hace

Enviada


Inverse empirical cumulative distribution function
Quantile function or inverse-ECDF of some data-sample. Data is finite and the ECDF from which the inverse is taken is discontiuo...

alrededor de 5 años hace | 3 descargas |

Enviada


Log-likelihood of the Hawkes process
Log-likelihood of the univariate Hawkes process with exponential kernel of order one.

más de 5 años hace | 2 descargas |

Enviada


COS method (Fang, Osterlee)
Evaluating PDF and CDF given the characteristic function via COS (Fourier-cosine) method

más de 5 años hace | 2 descargas |

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Enviada


Detrended fluctuation analysis (DFA)
Function and examples for running DFA

más de 5 años hace | 22 descargas |

Pregunta


Plot financial data continuously in time
<</matlabcentral/answers/uploaded_files/106754/example_commented.png>> Unfortunately couldn't find an existing topic on the f...

alrededor de 6 años hace | 2 respuestas | 0

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