christine.kohl at uni-ulm.de
2010-May-28 09:51 UTC
[R] MLE for multivariate t-distribution
Hey, I've got a problem with the estimation of a multivariate t-distribution. I've got 200 observations vor 20 variables. Now I want to estimate the parameters of the densityfunction of the multivarate t-distribution with mean=0. I found a function mst.mle in the package sn, but here it is for a skwed t- distribution and the mean is also estimated. I need a function which estimated only the degrees of freedom and the covarianzmatrix/ Omega. Can anybody help me please! Thanks a lot!