Harrell Davis Quantile Estimation

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Paul
Paul on 7 Aug 2011
Does anyone know of an existing implementation of the Harrell Davis (1982) Quantile Estimation method in Matlab? (and can point me to it). I have googled but so far nothing has come up.
ref: http://biomet.oxfordjournals.org/content/69/3/635.short
My intended usage is non parametric quantile based VaR estimates.
Many thanks.

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