Maximum likelihood estimation of high-dimensional Student-\(t\) copulas

DOI10.1016/J.SPL.2019.108678zbMath1436.62189OpenAlexW2993850860MaRDI QIDQ1987663

Mark Trede

Publication date: 15 April 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.108678

zbMATH Keywords

iterative algorithmmaximum likelihood estimationStudent \(t\)-copula

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (1)

Estimation of multivariate dependence structures via constrained maximum likelihood

Cites Work

• The t Copula and Related Copulas

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