Estimation of Structured T-Copulas
Attilio Meucci
SYMMYS; Kepos Capital
April 2008
Abstract:
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, G11
working papers series
Suggested Citation
Meucci, Attilio, Estimation of Structured T-Copulas (April 2008). Available at SSRN: http://ssrn.com/abstract=1126401 or http://dx.doi.org/10.2139/ssrn.1126401
