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A large and complete library of Matlab codes for copula modeling & inference

Home to J.-F. Quessy's Matlab Webpage

Me

Thank you for visiting My Matlab Webpage. You will find here a large amount of the code that I have accumulated since the beginning of my academic career (somewhere around 2005...):

  • Standard tools for copula modeling, including rank-based methods, graphics, estimators & simulation algorithms
  • More advanced methodologies for inference and copula modeling copula
  • Code used for tables & figures that appear in my published papers

Everything has been organized into "thematics" (see menu on the left). Feel free to download what you need (a mention would be appreciated, but not mandatory ...). My motivation for this webpage can be declined into three main aspects:

  • Make availability to the scientific community, including the students I supervise
  • Make published results transparent and reproducible
  • Having all codes managed under the same hat (which is great since they "talk to each other" and ease further programming)

Each program has a detailed explanation that identifies Inputs/Outputs/Necessary procedures.

I hope that everything is clear and easy to use. Enjoy !

Jean-François

P.S. The contributions of former students are acknowledged in the headings of the programs, where appropriate. However, note that I have rewritten everything; I thus take the entire responsibility for any mistake.