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Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.

2 votes
1 answer
253 views

Taking the partial derivative of the t-CDF with respect to the degrees of freedom

I am trying to find the maximum likelihood estimate of the parameters for the t-copula. Ideally I'd want to use a gradient-based method for optimization. However, I am having some difficulty in findin …
AJ Harry's user avatar
2 votes
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Taking the partial derivative of the t-CDF with respect to the degrees of freedom

In case anyone comes across this same problem, I've found an answer. Consult the article and its web supplement "Derivatives and Fisher information of bivariate copulas" by Schepsmeier and Stober, for …
AJ Harry's user avatar