The following Matlab project contains the source code and Matlab examples used for parameter estimation technique for general datasets.
In the paper "An estimation technique for Time Indexed gaussian Mixture Models", we propose a model specification that can be used to describe data with spikes, jumps, mean reversion, geometric brownian motion, you name it.
The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.
Project Files:
| File Name | Size |
|---|---|
| likelihoodj.m | 225 |
| mx.m | 104 |
| my.m | 50 |
| pfjumpsyx.asv | 2880 |
| pfjumpsyx.m | 2978 |
| simulatej.m | 289 |
| TimeIndexedGaussianMixture.pdf | 190314 |
| license.txt | 1305 |
