Linked Questions
10 questions linked to/from Estimating parameters of Student's t-distribution
2
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Student's t-distribution and ML in R [duplicate]
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):= \...
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1
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1
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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.
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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 ...
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3
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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 ...
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1
answer
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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 (...
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3
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1
answer
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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 ...
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2
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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 ...
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3
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1
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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$ ...
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2
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1
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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 +...
user188169
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0
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BIC for Bayesian ANOVA
I am doing a Bayesian ANOVA as follows:
BIC0 = -2 * logLik0 + k0 * log(N) # null hypothesis BIC
BIC1 = -2 * logLik1 + k1 * log(N) # alternate hypothesis BIC
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