Estimates ADCC parameters (alpha, gamma, beta) for copula model.
Usage
estimate_adcc_copula(
z_matrix,
weights,
Qbar,
copula_dist = "mvn",
start_pars = NULL
)
Arguments
- z_matrix
Matrix of copula residuals (T x k)
- weights
Observation weights
- Qbar
Unconditional covariance matrix
- copula_dist
Copula distribution ("mvn" or "mvt")
- start_pars
Optional starting values
Value
List with alpha, gamma, beta, shape (if MVT), nll, convergence
