Estimation of Structured T-Copulas
SYMMYS; Kepos Capital
We describe a simple recursive routine to estimate by maximum likelihood the correlation matrix and the degrees of freedom of the t-copula, when structure needs to be imposed on the eigenvalues for dimensionality issues.
Number of Pages in PDF File: 7
Keywords: isotropy, shrinkage, structured correlation, estimation-maximization, maximum likelihood, radial generator
JEL Classification: C1, G11working papers series
Date posted: April 29, 2008
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