FQBIED: MATLAB functions for "Inference for vast dimensional elliptical distributions"
Yves Dominicy, Hiroaki Ogata, David Veredas · RePEc: Research Papers in Economics · 2012
These functions are Matlab implementations of the quantile based method for elliptical distributions brought forward in the paper "Inference for vast dimensional elliptical distributions" (forthcoming in Computational Statistics). They are implemented for the elliptical stable distribution and the multivariate Student-t distribution. The zip file contains 6 functions: FQBIED_ESD_MC.m, FQBIED_St_MC.m, multrndst.m, multrndstable.m, stable.m, stablefit.m.