tcopula: A package for computing structured t-copulas

Source: R/tcopula.R

Implements the algorithm described in "Estimation of Structured t-Copulas".

References

Meucci, Attilio, Estimation of Structured T-Copulas (April 2008). Available at SSRN: https://www.ssrn.com/abstract=1126401.

Attilio Meucci (2020). https://www.mathworks.com/matlabcentral/fileexchange/19751-estimation-of-structured-t-copulas, MATLAB Central File Exchange. Retrieved October 14, 2020.