Code covered by the BSD License  

Highlights from
Estimation of Structured t-Copulas

5.0
5.0 | 1 rating Rate this file 16 Downloads (last 30 days) File Size: 60.1 KB File ID: #19751 Version: 1.2
image thumbnail

Estimation of Structured t-Copulas

by

Attilio Meucci (view profile)

 

28 Apr 2008 (Updated )

Recursive routine to estimate structured correlation matrix and degrees of freedom

| Watch this File

File Information
Description

For a detailed description please refer to A. Meucci (2008) "Estimation of Structured t-Copulas"

Latest version of article and code available at http://symmys.com/node/134

Required Products Statistics and Machine Learning Toolbox
MATLAB release MATLAB 7.3 (R2006b)
Tags for This File   Please login to tag files.
Please login to add a comment or rating.
Comments and Ratings (1)
15 Feb 2013 Andrea

Andrea (view profile)

 
Updates
10 Apr 2009 1.1

updated documentation link

09 May 2011 1.2

updated references

Contact us