Estimation of Structured t-Copulas: All Files - File Exchange

Code covered by the BSD License

Highlights from
Estimation of Structured t-Copulas

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
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from Estimation of Structured t-Copulas by Attilio Meucci
Recursive routine to estimate structured correlation matrix and degrees of freedom

All files for Estimation of Structured t-Copulas

/StructuredTCopulaMLE/DB_SwapParRates.mat
/StructuredTCopulaMLE/LogLik.m
/StructuredTCopulaMLE/MleRecursionForT.m
/StructuredTCopulaMLE/S_ReadMe.m
/StructuredTCopulaMLE/SeparateMargCop.m
/StructuredTCopulaMLE/StrucTMLE.m
/license.txt

Highlights from Estimation of Structured t-Copulas

Highlights from
Estimation of Structured t-Copulas