Estimation of Structured T-Copulas

    Published On 01/03/2011
    Author Name : 
    Attilio Meucci
    Published Date: 
    Tuesday, Apr 29, 2008
    Last Update: 
    Tuesday, Apr 29, 2008

    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.