Population Variance

Current direct sequence code division multiple access (DS-CDMA) system suffer from Multiple access interference (MAI) and Inter symbol interference (ISI) due to the frequency selective channel. This interference can be avoided by use of Adaptive Beamforming. There are two different minimum...

[cg, psg] = crandn(rgau,m)Generate correlated Gaussian sequences by Fourier synthesis.Input parameters:rgau = correlation function - length n/2m = number of realisationsOutput:cg = m x n matrix containing m sequences of n correlated variates from a zero mean, unit variance normal distributionpsg...

Some curve fitting or smoothing tools can benefit from knowledge of the noise variance to expect on your data. Kalman filters use this information, also some spline fitting tools. So I wrote a function to extract the noise variance from a signal vector. It also works on any specified dimension of...


Platforms: Matlab

A flexible implementation of PSO algorithm with time-varying parameters. Algorithm is suitable for solving continuous optimization problems. Special care has been taken to enable flexibility of the algorthm with respect to its parameters and to initial population selection. Detailed logging of...


Platforms: Matlab

This zip file contains the Presentation (PDF) and M-files that were demonstrated in the MathWorks Webinar: Using Genetic Algorithms in Financial Applications delivered on Dec 11 2007.The purpose of the webinar was to highlight how Genetic Algorithms may be used to supplement portfolio...


Platforms: Matlab

This set of files show some of the principles of Monte Carlo simulations, applied in the financial industry. this is the content of the web seminar called "Simulations de Monte Carlo en MATLAB".The slides are in French and a copy in English is also availableYou will find here :* how to code your...


Platforms: Matlab

function [optN, C, N] = sshist(x,N) [optN, C, N] = sshist(x,N) Function `sshist' returns the optimal number of bins in a histogram used for density estimation. Optimization principle is to minimize expected L2 loss function between the histogram and an unknown underlying density function. An...


Platforms: Matlab

Demo graphical user interface that finds an unconstrained mean-variance efficient frontier given asset price data. This data can come from Yahoo finance, where you can find the optimial portfolio for any set of assets you choose, or from a supplied Microsoft Access database.


Platforms: Matlab

Statistics fundamentals of the Correspondence Analysis (CA) is presented in the CORRAN and MCORRAN1 m-files you can find in this FEX author''s page. CA can be extended to more than two categorical variables, called Multiple Correspondence Analysis (MCA). CA and MCA are graphical techniques for...


Platforms: Matlab

fitChiSquare is a generalized chi-square fitting routine for any model function when data measurement errors are known; it returns the model parameters and their uncertainties at the delta chi-square = 1 boundary (68% confidence interval). It also returns the chi-square and degrees of freedom...


Platforms: Matlab

GODLIKE (Global Optimum Determination by Linking and Interchanging Kindred Evaluators) is a generization of various population-based global optimization schemes. Also, it handles both single- and multi-objective optimization, simply by adding additional objective functions.GODLIKE solves...


Platforms: Matlab

Neural Network Based Control System Design Toolkit Version 2The NNCTRL toolkit is a set of tools for design and simulation of control systems based on neural networks. The following designs are available:o Direct inverse controlo Internal model controlo Control by feedback linearizationo Optimal...


Platforms: Matlab

this function calculates the price of Call option based on the GARCH option pricing formula of Heston and Nandi(2000). The input to the function are: current price of the underlying asset, strike price, unconditional variance of the underlying asset, time to maturity in days, and daily risk free...


Platforms: Matlab

This program is an implementation of nondominated sorting genetic algorithm II (NSGA-II) proposed by K. Deb. Capabilities:1. R-NSGA-II: Reference-point-based NSGA-II.2. Coding: real, integer.3. GA operator: Intermediate crossover, Gaussian mutation.4. Constraint handling.5. Parallel computation...


Platforms: Matlab

Generate a Gamma random variable "Statistical Distributions", Evans, Hastings, Peacock, 2nd Edition, Wiley, 1993, p.75-81INPUTS: (N,M) = size of array of random variables to generate b = scale parameter > 0 c = shape parameter > 0 probability density function (pdf) p(x) = (x/b)^(c-1) * exp(-x/b)...


Platforms: Matlab

Matlab Toolbox for Submodular Function Optimization (v 2.0)By Andreas Krause (krausea@gmail.com).Slides, videos and detailed references available at http://www.submodularity.orgTested in MATLAB 7.0.1 (R14), 7.2.0 (R2006a), 7.4.0 (R2007a, MAC), 7.9.0 (MAC)This toolbox provides functions for...


Platforms: Matlab

Value-at-Risk calculation for portfolio stocks using variance-covariance, historical and MonteCarlo methods. Portfolio can be larger as you want including either the risk factor (stock index, currency, etc.)


Platforms: Matlab

Please see PORTOPTGADS, by following link 'Published m-files' below.PS. The cool picture is a visualization of Rastrigin's function, taken from Genetic Algorithm and Direct Search Toolbox documentation.


Platforms: Matlab

This is a set of functions that allows to test the weak form market efficiency and thus the predictability of the time series returns through various tests: direct and indirect test.The direct tests are the two versions (individual and joint)of the variance ratio of Lo and MacKinlay (1988).The...


Platforms: Matlab

main executing reference usages:[1] brushSmallerImageOverAnother.mThe objective is to illustrate how a smaller matrix may be 'brushed' against a larger one without overflowing.Such operations are common in image processing.If the smaller matrix is desired to start from the top left corner of the...


Platforms: Matlab