Estimate parameters (multivariate t distribution)

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Alex
Alex 2020-7-16
评论： Alex 2020-7-17
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?
  2 个评论
Jeff Miller
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
Alex 2020-7-17
First: One multivariate joint distribution that fits all stocks. In other words I want to estimate 10x10 scale matrix and degrees of freedom.

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