Stationarity

Mean or standard deviation are usually computed for whole part of the analysed signal. However, sometimes we would like to know how this quantities are changing in the data flow. MEANSTDF compute the expected mean and standard deviation values using user defined window for every data position.... Platforms: Matlab

This function calculates, in a "progressive" way, the mean and the standard deviation for a given vector (or matrix): it is useful in order to check stationarity of a random process looking at this two estimators. Platforms: Matlab

Small collection of functions that I developed. Most functions are broad enough to be used with other signals/fields as well. Some of the features:-tests of randomness of signals-SNR estmation under non-stationary and weighted averaging-EEG plotting-Estimating regions of stationarity... Platforms: Matlab

the stationary signal f(t)=cos(2*pi*5*t)+ cos(2*pi*10*t)+ cos(2*pi*20*t)+ cos(2*pi*50*t)having frequencies of 5,10, 20and 50 Hz at any given time instant.MATLAB program can be implemented to plot the stationary signal mentioned above:Clear... Platforms: Matlab

Exercises and case studies for a rigorous approach to risk- and portfolio-management. This booklet stems from the review sessions of the six-day ARPM bootcamp.Contents include:Advanced multivariate statistics; copula-marginal decompositionAnnualization/projection (FFT, cumulants,... Platforms: Matlab

The notebooks contained with the textbook were developed under MATLAB version 5.3. Some time ago version 6 was released. Several functions implementing autoregressive modeling had their structure changed such that script written for version 5.3 is not forward compatible. This effected two... Platforms: Matlab

There are three M-files:1. third.m, calculates the third-order moment for a time series2. aaft.m, calculates the Amplitude Adjusted Fourier Transform (for more details see: D. Kugiumtzis, Surrogate data test for nonlinearity including monotonic transformations, Phys Rev E, vol. 62, 1, 2000)3.... Platforms: Matlab