Estimation of Stochastic Covariance Models using a Continuum of Moment Conditions - Matlab Code

The Matlab code is structured into several subfolders to provide a better overview. The folder code/main contains all the start scripts for estimation and error analysis. Every script calls to boot.m in the code directory (which in turn calls config).

The folder code/plot contains several script for plotting various results of estimation, simulation and error analysis.

The core functionality described in the paper resides in the subfolders of the directory core, namely code/core/cf for the characteristic functions, code/core/estimation for CMM/CGMM and heuristic estimation, and finally code/core/simulation for the simulation functions. The subfolders of the directory util contain utility function for aspects like parameter space transformations.

The directories mat and output are storage directories for results in Matlab data file format or png. Since there is no code contained in these directories, there is no further documentation provided.

Matlab Directories

Matlab Files found in these Directories

boot encode_parameters plot_pcsv_cf real_to_pos
cf_pcsv_partial encode_pcsv_param plot_pcsv_cf_sim sim_pcsv
cf_pcsv_partial_theta encode_pcsv_param_partial plot_pcsv_mc sim_pcsv_partial
cf_pcsv_v encode_wasc_param plot_pcsv_partial_mc sim_wasc_2d
cf_pcsv_v_theta heuristic_pcsv_param plot_pcsv_sim vector_to_skew_symmetric
cf_wasc_v heuristic_wasc_param_2d plot_time_series vector_to_symmetric
cf_wasc_v_theta mgrid plot_wasc_cf wasc_estimation
cgmm pcsv_estimation plot_wasc_mc wasc_monte_carlo
config pcsv_monte_carlo plot_wasc_sim
corr_to_real pcsv_partial_estimation pos_to_real
decode_pcsv_param pcsv_partial_monte_carlo prepare_nl_opt_call
decode_wasc_param plot_empirical_cf real_to_corr

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