[R] MLE for Student's t-distribution

[Benjamin Dickgiesser]

I need to estimate all parameters (except maybe df). Thank you for
pointing me into a direction, I will have a look.
The aim is to use a fat-tail distribution to calculate the Value At
Risk instead of using the Normal distribution.

Ben

On 11/15/06, Prof Brian Ripley <ripley at stats.ox.ac.uk> wrote:
> On Wed, 15 Nov 2006, Benjamin Dickgiesser wrote:
>
> > Hi
> > is there an easy way/ R-function to calculate the numerical maximum
> > likelihood estimators for a Student's t-distribution?
> > I searched the mailing list archive the last 30mins but didn't find an answer.
>
> See fitdistr() in MASS.
>
> MLE of what, BTW?  If you want the MLE of 'df', fitdistr will give it to
> you but beware that its statistical properties are surprising.
>
> --
> Brian D. Ripley,                  ripley at stats.ox.ac.uk
> Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
> University of Oxford,             Tel:  +44 1865 272861 (self)
> 1 South Parks Road,                     +44 1865 272866 (PA)
> Oxford OX1 3TG, UK                Fax:  +44 1865 272595
>