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Estimation of Structured t-Copulas

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5.0 | 1 rating Rate this file 3 Downloads (last 30 days) File Size: 60.1 KB File ID: #19751 Version: 1.2
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Estimation of Structured t-Copulas



28 Apr 2008 (Updated )

Recursive routine to estimate structured correlation matrix and degrees of freedom

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

Latest version of article and code available at

Required Products Statistics and Machine Learning Toolbox
MATLAB release MATLAB 7.3 (R2006b)
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Comments and Ratings (1)
15 Feb 2013 Andrea

Andrea (view profile)

10 Apr 2009 1.1

updated documentation link

09 May 2011 1.2

updated references

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