Estimation of Structured t-Copulas

Version 1.2.0.0 (60.1 KB) by Attilio Meucci
Recursive routine to estimate structured correlation matrix and degrees of freedom
5.0
(1)
4.2K Downloads
Updated 9 May 2011

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For a detailed description please refer to A. Meucci (2008) "Estimation of Structured t-Copulas"

Latest version of article and code available at http://symmys.com/node/134

Cite As

Attilio Meucci (2024). Estimation of Structured t-Copulas (https://www.mathworks.com/matlabcentral/fileexchange/19751-estimation-of-structured-t-copulas), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2006b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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StructuredTCopulaMLE/

Version Published Release Notes
1.2.0.0

updated references
1.1.0.0

updated documentation link
1.0.0.0