I am a newbie to R and am trying to learn it. I have some financial data which is normal distributed. Now, the Student's t-distribution is given by $$g_v(z):= \... 1 vote 1 answer 735 views ### estimate the parameters of t-distribution and fitting with MLE [duplicate] Here is Fitting the t-Distribution by Maximum Likelihood t-method in book Statistics and Data Analysis for Financial Engineering with R examples page 113 and 168. ... 1 vote 0 answers 62 views ### How to theoretically fit and test for t-distribution [duplicate] I'm trying to test some data for the best distribution fit, and am looking to try the t-dist (all theoretically, no R computations) I think the best way to do this is to assume the distribution is ... 39 votes 3 answers 9k views ### What does the Akaike Information Criterion (AIC) score of a model mean? I have seen some questions here about what it means in layman terms, but these are too layman for for my purpose here. I am trying to mathematically understand what does the AIC score mean. But at ... 4 votes 1 answer 3k views ### t-distribution parameter estimation I know there are already several threads on this, but none seem to explicitly cover what I want. I have a set of financial data (pulled straight from Bloomberg) and am trying to fit a t-distribution (... 3 votes 1 answer 2k views ### Cauchy M estimator of regression in R Was wondering if anyone knows of an R package to estimate the Cauchy-M estimator of regression (see for example the end of this section, but with simultaneous estimation of the scale parameter as in ... 4 votes 2 answers 1k views ### How fitting a mixture distribution of noncentral Student t components to a one-dimensional sample in R? I`d like to extract the parameters of a two-component mixture distribution of noncentral student t distributions which first has to be fitted to a one-dimensional sample. My question is closely ... 3 votes 1 answer 725 views ### Linear regression with error dispersion dependent on the independent variable Suppose y=ax+z where x, y, z are random variables with range in \mathbf R, \mathbf E[x]=0, the probability distribution p(z|x) is 1) normal distribution N(0,\sigma(x)^2) with mean 0 ... 2 votes 1 answer 690 views ### Closed form for the solution of the likelihood equation: Student distribution Let Y be a random vector of \mathbf{R}^p. Assume that Y is t_p(\mu,\Sigma,\nu) distributed. That is the density is given by$$f_p(y,\mu,\Sigma,\nu)={\displaystyle {\frac {\Gamma \left[(\nu +... 