t Copula Fit

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Trambak
Trambak 2012-3-8
I am generating 100 t copula radom numbers with Rho=0.4 and Nu =5, using the copularnd function. Then I fit these random numbers back to a t copula. I do this 1000 times and I expect to see the distribution of Nu to be centered around 5. However, the estimated value of Nu takes very high values in many occasions. Any reasons?

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Andrew Newell
Andrew Newell 2012-3-8
That's just a consequence of the small sample size, and consistent with the 95% confidence estimate ( nuci ) you get for nuhat if you use the following commands:
rho = 4.5; nu = 5; N=100;
U = copularnd('t',0.4,5,N);
[rhohat,nuhat,nuci] = copulafit('t',U)
If you use N=1000, you'll see much tighter bounds on nuhat.

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