Correlation

Reporting tool, with leading indicators for each asset, for an example Quantitative Fund.This asset definition is read by the runregression.m matlab file submitted elsewhere and allows to compute correlation coefficients and assign weights to relevant indicators when doing forecasting.

Function calculates window cross-similarity between time series of threshold crossings for selected window span. Correlation between high temporal resolution records aggregated over time for records of original resolution.More informationhttp://www.ida.liu.se/~agbur/Software.htm

Fitting a t-copula using the method of moments described in Quantitative Risk Management by McNeil, Frey and Embrechts. The outputs from this function correspond to those of the statistics toolbox's copulafit('t',u) . For large datasets, tcopulafit is immeasurably faster than copulafit('t',u)....


Platforms: Matlab

Calculates point biserial correlation and tests for significance with either ttest or ranksum test.


Platforms: Matlab

normxcorr2_general computes the normalized cross-correlation of matrices TEMPLATE and A. The resulting matrix C contains correlation coefficients and its values may range from -1.0 to 1.0.Limitations of normxcorr2:The documentation of normxcorr2 states that, "The matrix A must be larger than the...


Platforms: Matlab

It generates a stochastic field on a squared space. Samples are created by Latin hypercube sampling and the spatial correlation is performed by an algorithm based on Cholesky decomposition. Example inside.


Platforms: Matlab

Find Displacement between images by using cross-correlation.Easy:[dr,dc]=findoff(unreg,ref)


Platforms: Matlab

Implementation of Nicholas J. Higham's algorithm "Computing the Nearest Correlation Matrix - A Problem from Finance", 2002.http://eprints.ma.man.ac.uk/232/01/covered...S_ep2006_70.pdf


Platforms: Matlab

References:Fisher, N.I. and A.J. Lee (1983) A correlation coefficient for circular data. Biometrika Trust. 70(2):327-332 http://biomet.oxfordjournals.org/cgi/conte...stract/70/2/327Fisher, N.I. (1996) Statistical Analysis of Circular Data. Cambridge University Press.ISBN 0521568900,...


Platforms: Matlab

AMI computes and plots average mutual information (ami) and correlation of univariate or bivariate time series for different values of time lag.USAGE: [amis corrs] = ami(xy,nBins,nLags)INPUT: xy: either univariate (x) or bivariate ([x y]) time series data. If bivariate time series are given then...


Platforms: Matlab

Y = UPSIDECORRELATION(Y) returns the upside correlation for columns of variable Y.Y = UPSIDECORRELATION(Y, m) returns the upside correlation using vector m as expected value for columns of variable Y.====================================================Upside correlation is defined as the upside...


Platforms: Matlab

Finding corresponding features in a pair of images is the basis of many optic flow, stereo vision and image registration algorithms. One straightforward approach to finding a match is to take a small patch of one image, compute its sliding cross-correlation with the other image, and find a peak....


Platforms: Matlab

This script demonstrates the influence of range reduction algorithm at low bitrate encoding using JPEG encode. The range [0-255] of pixel values is mapped to [64-235] in this script using a look-up-table. Subsequently, the file is compressed to achieve the same bit-rate (file size) as that of the...


Platforms: Matlab

Linear feedback shift registers (LFSR) are a simple method of generating sequences, including pseudorandom number sequences. The LFSR code provided is very unrestricted, allowing for any feedback polynomial, initial state or decimation factor. The code is written for a 32 bit LFSR, but minor...


Platforms: Matlab

The Measures of Effect Size (MES) Toolbox is a set of functions which compute a wide range of effect size statistics. The four main toolbox functions cover common analysis designs, including two-sample-, oneway- and twoway- data sets as well as categorical data (tables). Data may be...


Platforms: Matlab

Generates a sample of observations having user defined correlation matrix R. Optionally, the user may also define the means and variances. If unspecified, these two arguments will default to a mean vector of zeros and variance vector of ones.


Platforms: Matlab

function [argout1 argout2 argout3 argout4]=sdindex2(data,threshold)%calculation of statistical dependence index%INPUTS%data: a two column matrix, each column is a variable, each row an observation%thresholds: reference thresholds for calculation of probability%OUTPUTS%statistical dependence...


Platforms: Matlab

Lawley has developed a procedure for testing the equal correlation structure from the off-diagonal elements of the correlation matrix. It is equivalent to test the hypothesis that correlations are equal.File needs to input the multivariate matrix, matrix type [d=1,for a n-p data matrix; d=2, for...


Platforms: Matlab

This m-file deals with the iterated principal factor method (principal axis factoring) thru the R-correlation matrix (without the matrix of data), the latent root criterion, iteration convergence criterion, and uses the varimax factor rotation. It works with an iterative solution for...


Platforms: Matlab

Calculates the RiskMetrics "Technical Document" (1996) exponentially weighted covariance matrix (p.179), correlation and volatilities.Input:data - needs to be in format T x k with T = # observations, k = # assetslambda = decay factor


Platforms: Matlab