[R] fitting t copula with fixed dof
ergen at rice.edu
ergen at rice.edu
Wed May 16 19:39:44 CEST 2012
I need to fit a t copula with fixed degree of freedom let's say 4. I
do not want to estimate the dof together with correlation matrix
optimally. Instead fix the dof to 4 and only estimate the correlation
matrix in the optimization routine. Is anyone aware of such estimation
method in R.
The packages and functions that I know of can't do this estimation. I
searched online but couldn't find anything. I will appreciate any
help/comments.
Best Regards
Ibrahim Ergen
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