Code covered by the BSD License

LogLik(x,Nu,Sigma)
MleRecursionForT(x,Nu,K,Toler... this function computes recursively the ML estimators of the correlation
[Nu,C]=StrucTMLE(X,K,Toleranc... this function computes recursively the ML estimators of the correlation
[W,F,U]=SeparateMargCop(X) this function separates the empirical copula from the marginal distribution
S_ReadMe.m
View all files

5.0

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

Estimation of Structured t-Copulas

28 Apr 2008 (Updated 09 May 2011)

Recursive routine to estimate structured correlation matrix and degrees of freedom

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 Toolbox

MATLAB release

MATLAB 7.3 (R2006b)

Tags for This File
Everyone's Tags	analysis, estimationmaximization, finance, isotropy, modeling, portfolio management, quantitative finance, risk management, shrinkage, statistics, structured correlation
Tags I've Applied
Add New Tags	Please login to tag files.

Please login to add a comment or rating.

Comments and Ratings (1)
15 Feb 2013	Andrea

Updates
10 Apr 2009	updated documentation link
09 May 2011	updated references