Estimation of Structured t-Copulas

Versione 1.2.0.0 (60,1 KB) da Attilio Meucci
Recursive routine to estimate structured correlation matrix and degrees of freedom
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4,2K download
Aggiornato 9 mag 2011

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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 http://symmys.com/node/134

Cita come

Attilio Meucci (2025). Estimation of Structured t-Copulas (https://www.mathworks.com/matlabcentral/fileexchange/19751-estimation-of-structured-t-copulas), MATLAB Central File Exchange. Recuperato .

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StructuredTCopulaMLE/

Versione Pubblicato Note della release
1.2.0.0

updated references
1.1.0.0

updated documentation link
1.0.0.0