Apr
1

## MFE toolbox

Oxford MFE package was shared there, here is a new

1. Time series,

2. Distributions,

3. Tests and goodness-of-fit functions,

4. Markov regime switching (MRS) models,

5. GUI functions,

6. Demos,

7. Data files.

Selected functions are:

armaacvf - Autocovariance function of an ARMA process.

average - Weighted average.

decompB - Moving average with rolling volatility daily data decomposition.

rollingvol - Annual rolling volatility.

empcdf - Empirical cumulative distribution function (cdf).

hypest - Estimate parameters of the hyperbolic distribution.

nigcdf - NIG cumulative distribution function (cdf).

nigest - Estimate parameters of the NIG distribution.

nigloglik - NIG log-likelihood function.

nigpdf - NIG probability density function (pdf).

stabcdf - (Alpha-)stable cumulative distribution function (cdf).

stabcull - Quantile parameter estimates of a stable distribution.

stabreg - Regression parameter estimates of a stable distribution.

edftests - Empirical distribution function (edf) goodness-of-fit statistics (Kolmogorov and Anderson-Darling).

Downloading the toolbox at: http://www.im.pwr.wroc.pl/~rweron/MFE.html

More about the book at: http://www.riskey.cn/2009/04/modeling-and-forecasting-electricity-loads-and-prices-a-statistical-approach-the-wiley-finance-series-hardcover/

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**MFE Matlab toolbox**accompanying the book "**Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach**", which is grouped into the following seven categories:1. Time series,

2. Distributions,

3. Tests and goodness-of-fit functions,

4. Markov regime switching (MRS) models,

5. GUI functions,

6. Demos,

7. Data files.

Selected functions are:

armaacvf - Autocovariance function of an ARMA process.

average - Weighted average.

decompB - Moving average with rolling volatility daily data decomposition.

rollingvol - Annual rolling volatility.

empcdf - Empirical cumulative distribution function (cdf).

hypest - Estimate parameters of the hyperbolic distribution.

nigcdf - NIG cumulative distribution function (cdf).

nigest - Estimate parameters of the NIG distribution.

nigloglik - NIG log-likelihood function.

nigpdf - NIG probability density function (pdf).

stabcdf - (Alpha-)stable cumulative distribution function (cdf).

stabcull - Quantile parameter estimates of a stable distribution.

stabreg - Regression parameter estimates of a stable distribution.

edftests - Empirical distribution function (edf) goodness-of-fit statistics (Kolmogorov and Anderson-Darling).

Downloading the toolbox at: http://www.im.pwr.wroc.pl/~rweron/MFE.html

More about the book at: http://www.riskey.cn/2009/04/modeling-and-forecasting-electricity-loads-and-prices-a-statistical-approach-the-wiley-finance-series-hardcover/

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