[R-SIG-Finance] Fitting multivariate skew-t distribution with "sn" package
Sachin Kuruvithadam
sacios at hotmail.it
Fri Jul 8 16:20:19 CEST 2016
I'm trying to fit a multivariate t distribution to a matrix. Since I want the parameters to be estimated instead of fixed, I thought using the "mst.mple" command. But it says "required argument y is missing", so now I understand this is to be used for a regression with skew-t errors.
So how do you fit a multivariate t distribution (with no covariates / response values etc.) to a given matrix?
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