Estimation of Multivariate Generalized Hyperbolic Matlab script

Version:
File size: 0 KB
File name: multiGHD_mcecm.zip
Last update: 03 May 2010
Platform: Windows / Linux / Mac OS / BSD / Solaris
Language: Matlab
Price: Freeware
Company: Saket Sathe (View more)

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Estimation of Multivariate Generalized Hyperbolic script details

Estimation of Multivariate Generalized Hyperbolic script description:

Publisher review:
Estimation of Multivariate Generalized Hyperbolic Distributions uses a multi-cycle Expectation-Conditional Maximization algorithm to estimate parametes I have tested this code for a 15-dim MGHD PDF. Please take a look at the README for further details. Requirements: · MATLAB Release: R13 · Statistics Toolbox

Estimation of Multivariate Generalized Hyperbolic is a Matlab script for Financial Modeling and Analysis scripts design by Saket Sathe. It runs on following operating system: Windows / Linux / Mac OS / BSD / Solaris.

Operating system:
Windows / Linux / Mac OS / BSD / Solaris