Long time to process - fit copula model

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Flavio
Flavio 2018-10-5
评论： Flavio 2018-10-11
Hi, Matlab is taking a long time to process the code below. If I reduce the number of stocks to 6, it computes fast. If I increase to 25 which is the number that I need it does not end the calculation, I waited almost an hour (should I wait more ?) and I have to stop it. Is there another way to do it ?
%% Fit a copula model
lowerTail = 0.07; upperTail = 0.93;
for idx = 25:-1:1 currentRet = returns(:,idx); marginal{idx} = paretotails(currentRet, lowerTail, upperTail, 'kernel'); U(:,idx) = cdf(marginal{idx}, currentRet); end [rho, nu] = copulafit('t', U);

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Bernhard Suhm
Bernhard Suhm 2018-10-11
Sounds like you need to bring some parallelization to bear. If your computer had multiple cores, you could leverage them if you also had the Parallel Computing toolbox.

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