How can I fitt data to t-student distribution?
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Hello, please help me someone. I am new in matlab. I have a vector of log-returns, I want to fit it to t-student distribution to verify if it can capture the tails of my data. Then I want to plot a t-student pdf on histogram. I would appreciate your help asap
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Star Strider
on 24 Aug 2015
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Star Strider
on 24 Aug 2015
Nelli Yanytska’s Answer moved here:
Thank you very much, I have another question if you can answer. I am trying to understand what is a difference between t-student and tlocation scale distribution in matlab. I used data fitting tool for my data. it seems to work, but I wonder, datafitting tool estimated values with MLE. It givs mu, sigma and dof. If I want to transform tlocation scale to t-student, I should subtract mu from valus and divide by sigma. But the t-student variable that we get is distributed with the same mu sigma and dof. Does it mean that I can use this values (mu, sigma, dof), to estimate risk measures on t-student distribution?
Star Strider
on 24 Aug 2015
My pleasure.
I refer you to the documentation on prob.tLocationScaleDistribution class and t Location-Scale Distribution for details.
Anything I would write would be restating these documentation pages, and likely not as well.
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