Download This PaperEstimation of Structured T-Copulas
7 Pages Posted: 29 Apr 2008
Date Written: 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.
Keywords: isotropy, shrinkage, structured correlation, estimation-maximization, maximum likelihood, radial generator
JEL Classification: C1, G11
Suggested Citation: Suggested Citation
Meucci, Attilio, Estimation of Structured T-Copulas (April 2008). Available at SSRN: https://ssrn.com/abstract=1126401 or http://dx.doi.org/10.2139/ssrn.1126401
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