資源簡介
t copula的一些描述可以用來算相關系數,以及求解copula參數
代碼片段和文件信息
function?CL?=?tcopulaCL_3(thetadata)
%?function?CL?=?tcopulaCL_3(thetadata)
%?
%?The?negative?copula?log-likelihood?of?a?
%?Student‘s?t?copula
%
%?From?my?own?calculations?-?Roncalli‘s?seems?to?have?some?mistakes?in?it
%
%?Sunday?22?April?2001.
%
%?Andrew?Patton
%
%?INPUTS:?theta?=?[rho?nu]?=?[?correlation?coeff?degree?of?freedom?parameter]
% data?=?[U?V];
%?Written?for?the?following?papers:
%
%?Patton?A.J.?2006?Modelling?Asymmetric?Exchange?Rate?Dependence?International?Economic?Review?47(2)?527-556.?
%?Patton?A.J.?2006?Estimation?of?Multivariate?Models?for?Time?Series?of?Possibly?Different?Lengths?Journal?of?Applied?Econometrics?21(2)?147-173.
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