Maximum likelihood estimation of high-dimensional Student-t copulas

被引：4
|
作者：
Trede, Mark [1 ]
机构：
[1] Westfalische Wilhelms Univ Munster, Dept Econ, Inst Econometr & Econ Stat, Munster, Germany
来源：
STATISTICS & PROBABILITY LETTERS | 2020年 / 159卷
关键词：
Student t-copula; Maximum likelihood estimation; Iterative algorithm;
D O I：
10.1016/j.spl.2019.108678
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper suggests a simple iterative and robust maximum likelihood estimation method for the parameters of a high-dimensional Student t-distribution that is substantially faster than direct maximum likelihood approaches. (C) 2019 Elsevier B.V. All rights reserved.
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页数：4
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