Community Profile

photo

Martin Magris


Last seen: 4 Monate vor |  Aktiv seit 2018

Followers: 0   Following: 0

Statistiken

All
  • 5-Star Galaxy Level 3
  • Personal Best Downloads Level 3
  • First Review
  • First Submission
  • Solver
  • Thankful Level 1

Abzeichen anzeigen

Feeds

Anzeigen nach

Gesendet


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

fast 4 Jahre vor | 1 Download |

Thumbnail

Gesendet


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

fast 4 Jahre vor | 14 Downloads |

Gesendet


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

etwa 4 Jahre vor | 1 Download |

Gesendet


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

etwa 4 Jahre vor | 1 Download |

Gesendet


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...

mehr als 4 Jahre vor | 1 Download |

Thumbnail

Gesendet


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

mehr als 4 Jahre vor | 1 Download |

Thumbnail

Gesendet


Lee Mykland nonparametric jump detection
Nonparametric jump detection method

etwa 5 Jahre vor | 2 Downloads |

Gesendet


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...

etwa 5 Jahre vor | 7 Downloads |

Gesendet


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

mehr als 5 Jahre vor | 2 Downloads |

Gesendet


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

fast 6 Jahre vor | 4 Downloads |

Thumbnail

Gesendet


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

fast 6 Jahre vor | 17 Downloads |