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c_density
2009 Sep 23
1
Maximum Likelihood Est. regarding the degree of freedom of a multivariate skew-t copula
Hello,
I have a bigger problem in calculating the Maximum Likelihood Estimator regarding the degree of freedom of a multivariate skew-t copula.
First of all I would like to describe what this is all about, so that you can understand my problem:
I have 2 time series with more than 3000 entries each. I would like to calculate a multivariate skew-t Copula that fits this time series.
Notice: