Fit t copula fast using method of moments
Fitting a t-copula using the method of moments described in Quantitative Risk Management by McNeil, Frey and Embrechts. The outputs from this function correspond to those of the statistics toolbox's copulafit('t',u) . For large datasets, tcopulafit is immeasurably faster than copulafit('t',u). The correlation matrix rho is found using Kendall's tau, and then nu is found by MLE. The code only requires the statistics toolbox to calculate Kendall's tau, and so can be easily modified to be toolbox independent.
Cite As
Hemingway (2024). Fit t copula fast using method of moments (https://www.mathworks.com/matlabcentral/fileexchange/29156-fit-t-copula-fast-using-method-of-moments), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Probability Distributions >
Tags
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.