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fenner
2009 Sep 23
1
Maximum Likelihood Est. regarding the degree of freedom of a multivariate skew-t copula
...) {
f <- function(z) {
pmst(z, xi[1],Omega[1,1],alpha[1],df)-P_dax[i]
}
u1[i]<-uniroot(f,ber1,tol=0.000001)$root
f <- function(z) {
pmst(z, xi[2],Omega[2,2],alpha[2],df)-P_nik[i]
}
u2[i]<-uniroot(f,ber2,tol=0.000001)$root
z?hler<-dmst(c(u1[i],u2[i]),xi,Omega,alpha,df)[1]
nenner<-dmst(u1[i], xi[1] ,Omega,alpha[1],df) * dmst(u2[i], xi[2],Omega,alpha[2],df)
z[i]<-z?hler/nenner
}
lnc<-log(z)
erg<-(-1)*sum(lnc)
return(erg)
}
v<-c(10)
optim(v,c_density, method="SANN", control=list(maxit=20))
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