[R-SIG-Finance] How to do multivariate MLE?

Hung-Te(Stanley) Chu chd850 at gmail.com
Tue Aug 7 05:53:58 CEST 2007


If I generate random variables, X, from the bivariate t distribution with df 
= 3:
    x <- rmvt(n=10, sigma = diag(2), df = 3)

Now I want to perform MLE to "back out" the df. To do so, I define a 
function loglik:

loglik <- function(v){
  a <- 0.5;
  b <- 0.5*v;
  sum( -log( (1+x/v)^-((v+1)/2) ) + log( beta(a,b)*sqrt(v) ) )

And then I use "nlminb()" to solve it. Somehow this setup is incorrect and I 
don't know why.

Can anyone give me an example about how to do multivariate MLE?

Thanks a lot.

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