<t>OK, let me make it more explicit...In the following matlab code from quantcode, used to eatimate beta, what is the variable "x". Its assigned as unity and doesn't change throughout.This code requires a matlab function called MyLikelihoodFn.m and datafiles which are attached. Many thanks in advanc...

Should it be the same as the standard deviation of the foloowing data - [0 1 1 2 2 2 3 3 3 3 4 4 4 4 4]

<r>I am trying Kalman filters for beta estimation (ratio of stock return to index return).First question - is it any good?Secondly, I am refering to the following paper - "Berardi Corradin Sommacampagna - Estimating Value at Risk with the Kalman Filter"<URL url="http://www.icer.it/workshop/Berardi_C...

<r>Here's matlab code...%Reference%The most general methodology to create a valid correlation matrix for risk management and option pricing purposes%Riccardo Rebonato, Peter J¨ackel, Quantitative Research Centre of the NatWest Group, 19 th October 1999%<URL url="http://www.quarchome.org/correlationm...

<t>The way I currently managed the 1-3-3 problem is as follows: (a) I chose one element out of ['a' 'b' 'c' 'd' 'e' 'f' 'g'];(b) for each of the 7 above in (a) then I did setdiff to find the remaining set of six and did nchoosek('remaining_set', 3) to get 6C3 = 20.Now matlab sorts them such that if ...

<t>Ok, let me be more specific.There is a Life Expectancy certificate issued by ME (5.2 years in the example) as a median value, non-specifc to the person, and there are actuarial table that give out the function through whihc 'pdf' of age at death can be arrived at. What is the link between the two...

Hmm... thank you very much there... that's a good hint, i am now thinking of generalising it on the same lines... for example, suppose I have nine elements 'a' till 'i' and I want to split it in groups on nine, leading to 280 cases.Thanks once again.

<t>Can somebody elaborate what is written on page 1167 of Paul Wilmott on Quantitative Finance Second Edition Volume 3, Chapter 74 on Viaticals.Specifically, "To value this policy I have taken a published table of mortality.... ProbabilityOfDeath=ProbabilityOfDeath + Adjust1 + Adjust2*(Age-70)"Thing...

<t>yes,a bcd efga cbd efga dcb efga bdc efgand evena efg bcda efg cbd a egf dcb a gfe bdc...etc are all same because the groups are distinguishable only by their sizes, and since in this example the later two groups have the same size, the orser is immaterial.The total number of cases in this specif...

<t>Hi amit7ul and thanks for your reply.That doesn't help me as there are a lot of comparisons etc. required in the algorithm. Is there anything simple poaaible?Also, if at all this is the only way, can the key be simple enough to be deciphered back, in the sense, can from the key, I can quickly tel...

please igonore

Please ignore

<t>These are baskets of size 1, 3 & 3. And the baskets are indistinguishable. So that, a basket containing bcd is no different from basket containing dcb.Additionally, if 'a' is the content of the basket of size 1, and now that there are two baskets of size 3 remaining, it doesn't matter if bcd ...

<t>I am thinking hard how solve this problem in Matlab:I have an array main_set=['a', 'b', 'c', 'd', 'e', 'f', 'g']; %7 elementsI need to break the set down into groups of 1, 3 and 3 such that the groups are not distinguishable.This mean thatsubset1=['a']; subset2=['b', 'c', 'd']; subset3=['e', 'f',...

<r>You need this...<URL url="http://www.esnips.com/doc/89b431d2-e2a4-4629-bf06-e97da3ea143b/Static-replication-of-vanilla-barriers---thesis---Shivum-PatelHere%27s"><LINK_TEXT text="http://www.esnips.com/doc/89b431d2-e2a4 ... atelHere's">http://www.esnips.com/doc/89b431d2-e2a4-4629-bf06-e97da3ea143b/...