Estimate parameters (multivariate t distribution)
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Hello!
Is there a built-in function in Matlab that estimates parameters of a multivariate t distribution (scale matrix, degrees of freedom). In other words, I have time series of returns for 10 stocks. Assuming that the returns have t distribution, how do I find the parameters of the distribution?
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Jeff Miller
2020-7-17
Do you want to estimate a single t distribution that best fits the returns from all stocks (essentially assuming they all come from a t distribution with the same parameters), or do you want to estimate separate parameters for each stock? If the latter, do you want to assume that the returns of the stocks are all uncorrelated, or are you looking for a 10-dimensional t distribution (one dimension for each stock) with a to-be-estimated correlation structure?
Alex
2020-7-17
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