Harrell Davis Quantile Estimation

11 views (last 30 days)
Paul
Paul on 7 Aug 2011
Does anyone know of an existing implementation of the Harrell Davis (1982) Quantile Estimation method in Matlab? (and can point me to it). I have googled but so far nothing has come up.
ref: http://biomet.oxfordjournals.org/content/69/3/635.short
My intended usage is non parametric quantile based VaR estimates.
Many thanks.

Sign in to answer this question.

Answers (0)

Categories

Find more on Statics and Dynamics in Help Center and File Exchange

Tags

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!