MATLAB code
- FB.zip: code accompanying the paper "Saddlepoint approximations for the normalising constant of Fisher-Bingham distributions on products of spheres and Stiefel manifolds", by Kume, Preston and Wood. Includes code for calculating approximations to Fisher-Bingham normalising constants using saddlepoint and Monte Carlo methods, and code for simulating from the von-Mises-Fisher distribution on the sphere.
- SDE.zip: code accompanying the paper "Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions", by Preston and Wood. Includes an implementation of the method described in that paper, as well as implementations of methods due to Shoji and Ozaki, and Ait-Sahalia.
- Code_approx_MLE_1D_diffusions.zip: code accompanying the paper "Approximate Maximum Likelihood Estimation for 1D Diffusions Observed on a Fine Grid", by Lu, Paine, Preston and Wood.
- ESAG.zip: code accompanying the paper "An elliptically symmetric angular Gaussian distribution" by Paine, Preston, Tsagris and ATA Wood. More details here.