Linked Questions

2 votes
1 answer
615 views

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):= \...
wondering1123's user avatar
1 vote
1 answer
768 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. ...
user6703592's user avatar
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3 votes
1 answer
749 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 $0$ ...
Hans's user avatar
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2 votes
1 answer
703 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 +...
user avatar
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 ...
caveman's user avatar
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1 vote
0 answers
171 views

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 ...
user1971988's user avatar
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 ...
Joz's user avatar
  • 1,072
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 (...
user40124's user avatar
  • 837
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 ...
user40124's user avatar
  • 837
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 ...
user603's user avatar
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