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fitting t copula with fixed dof

2 messages · ergen at rice.edu, Martin Maechler

ergen at rice.edu
# 
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
4 days later
Martin Maechler
# 
> 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.

I searched wrongly.
The copula package has been able to do that for a very long
time. --> fitCopula()

Martin Maechler,
ETH Zurich