Fit t copula fast using method of moments

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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.

Free download from Shareware Connection - Fitting a t-copula using the method of moments described in Quantitative Risk Management by McNeil, Frey and Embrechts

Publisher: Hemingway | License: Shareware
Version: 1.0 | Size: 72 KB | Platform: Matlab, Scripts
Released Date: 13-02-2013 | Rating: 0 | Title: Fit t copula fast using method of moments

Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/29156/3/tcopulafit.zip

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Fit t copula fast using method of moments keywords:

faster, correlation, matrix, large, datasets, found, modified, immeasurably, tcopulafit, kendall

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