[R] fitting t copula with fixed dof

ergen at rice.edu ergen at rice.edu
Wed May 16 19:39:44 CEST 2012


I need to fit a t copula with fixed degree of freedom let's say 4. I  
do not want to estimate the dof together with correlation matrix  
optimally. Instead fix the dof to 4 and only estimate the correlation  
matrix in the optimization routine. Is anyone aware of such estimation  
method in R.

The packages and functions that I know of can't do this estimation. I  
searched online but couldn't find anything. I will appreciate any  
help/comments.

Best Regards
Ibrahim Ergen



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