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p_new
2009 Sep 23
1
Maximum Likelihood Est. regarding the degree of freedom of a multivariate skew-t copula
...time series, that are used
data<-read.table("NIKKEI.txt", header=T)
attach(data)
data<-read.table("DAX.txt", header=T)
attach(data)
my_dax<-mean(dax)
sd_dax<-sqrt(var(dax))
my_nik<-mean(nik)
sd_nik<-sqrt(var(nik))
P_dax<-pnorm(dax,mean=my_dax, sd=sd_dax)
P_nik<-pnorm(nik,mean=my_nik, sd=sd_nik)
xi<-vector(length=2)
Omega <- matrix(nrow=2, ncol=2)
alpha<-vector(length=2)
u1<-vector(length=length(P_dax))
u2<-vector(length=length(P_nik))
xi<-c(0,0)
Omega<-diag(2)
alpha<-c(0,0)
ber1<-c(-25,25)
ber2<-c(-25,25)
z<-vector(l...