get.df.Student {GWEX}

get.df.Student

Description

Estimates the nu parameter (degrees of freedom) of the multivariate Student distribution when the correlation matrix Sig is given

Usage

get.df.Student(P, Sig, max.df = 20)

Arguments

P

matrix of non-zero precipitation (zero precipitation are set to NA)

Sig

correlation matrix

max.df

maximum degrees of freedom tested (default=20)

Value

nu estimate

Author(s)

Guillaume Evin

References

McNeil et al. (2005) "Quantitative Risk Management"