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Martin Magris


Tampere University of Technology

Last seen: 1 year ago |  Active since 2018

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Submitted


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

3 years ago | 3 downloads |

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

3 years ago | 10 downloads |

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

3 years ago | 5 downloads |

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

3 years ago | 1 download |

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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...

3 years ago | 1 download |

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

3 years ago | 4 downloads |

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Lee Mykland nonparametric jump detection
Nonparametric jump detection method

4 years ago | 6 downloads |

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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...

4 years ago | 4 downloads |

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

4 years ago | 3 downloads |

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

5 years ago | 1 download |

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

5 years ago | 22 downloads |