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Estimation of Structured t-Copulas

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Estimation of Structured t-Copulas

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28 Apr 2008 (Updated )

Recursive routine to estimate structured correlation matrix and degrees of freedom

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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)
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15 Feb 2013 Andrea  
Updates
10 Apr 2009

updated documentation link

09 May 2011

updated references

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