So far my own trials to fit such a mixture distribution to simulated or real data in R were unsuccessful (even if the data was simulated from a two-component t mixture!!!). I'm about to try the same thing in matlab. But several professionals I've been talking to said that it might be in general hard to fit such a distribution because of the heavy tails in the student`s t and the resulting flatness of the likelihood function.
So I'd be very interested if ANY of you has EVER been able to fit such a distribution successfully - before I try to do the same thing in matlab, stata, C, ...
ALL parameters should be estimated (mixing law, component means, component standard deviations (or alternatively scaling factors), component degrees of freedom). Any algorithm and programming language goes!
For an example of the component's parametrization see e.g. here: http://en.wikipedia.org/wiki/Student%27s_t-distribution#Non-standardized_Student.27s_t-distribution
Thanks a lot in advance!!!