Posts Tagged ‘ t ’

(nonparametric) Copula density estimation

September 20, 2012
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(nonparametric) Copula density estimation

Today, we will go further on the inference of copula functions. Some codes (and references) can be found on a previous post, on nonparametric estimators of copula densities (among other related things).  Consider (as before) the loss-ALAE data...

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MAT8886 elliptically contoured distributions

February 15, 2012
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MAT8886 elliptically contoured distributions

(This article was first published on Freakonometrics - Tag - R-english, and kindly contributed to R-bloggers) Last week, we've introduced the concept of exchangeable variables, i.e. satisfying for any matrix  , i.e. is a permutation matrix: belongs to the orthogonal group, , and with elements in . It is possible to extend that family, considering all matrices in the...

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