[R-SIG-Finance] PML and CML

ludovic.theate ludovic.theate at gmail.com
Fri Nov 16 15:32:08 CET 2012

Hi everybody,

I am still dealing with Garch-Copula models, and I was wondering about the
difference between the Canonical Maximum Likelihood (CML) method and the
Pseudo Maximum Likelihood (PML) method. I think that these are two terms for
the same method, namely the method which firstly transform the marginal
distributions into uniform ones using the empirical cumulative distribution
function of each of them and then plugs these estimators into the
log-likelihood function which has to be maximized.

Could you confirm there is no difference between CML and PML ? Thanks.



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