I need to estimate all parameters (except maybe df). Thank you for pointing me into a direction, I will have a look. The aim is to use a fat-tail distribution to calculate the Value At Risk instead of using the Normal distribution.
Ben On 11/15/06, Prof Brian Ripley <[EMAIL PROTECTED]> wrote: > On Wed, 15 Nov 2006, Benjamin Dickgiesser wrote: > > > Hi > > is there an easy way/ R-function to calculate the numerical maximum > > likelihood estimators for a Student's t-distribution? > > I searched the mailing list archive the last 30mins but didn't find an > > answer. > > See fitdistr() in MASS. > > MLE of what, BTW? If you want the MLE of 'df', fitdistr will give it to > you but beware that its statistical properties are surprising. > > -- > Brian D. Ripley, [EMAIL PROTECTED] > Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ > University of Oxford, Tel: +44 1865 272861 (self) > 1 South Parks Road, +44 1865 272866 (PA) > Oxford OX1 3TG, UK Fax: +44 1865 272595 > ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
