get.df.Student: 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)
References
McNeil et al. (2005) "Quantitative Risk Management"