Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Apr 1

MFE toolbox

Posted by abiao at 16:10 | Code » Matlab | Comments(0) | Reads(9456)
Oxford MFE package was shared there, here is a new 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/

Tags: , ,
Add a comment
Enable HTML
Enable UBB
Enable Emots
Nickname   Password   Optional
Site URI   Email   [Register]