Fit t copula fast using method of moments 1.0

Date Added: March 24, 2013 | Visits: 394

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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.

Requirements: No special requirements

Platforms: Matlab

Keyword: Correlation, Datasets, Faster, Found, Immeasurably, Kendall, Large, Matrix, Modified, Tcopulafit

Users rating: 0/10

License: Shareware

Size: 71.68 KB

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