Dear list,
In fitting a two-component Student's t mixture distribution to some data
(standardized GARCH residuals) one of the components has an estimated
degree of freedom of 0.6. This means that even the first moment of the
mixture distribution would not exist.
The gamlss.mx package in R is used for estimation. gamlss.control,
glim.control and MX.control seem not to support this kind of option --
or I couldn't find out how...
Is there a way to restrict the degree of freedom parameter estimates to
be larger than, say, 3?
Many thanks in advance,
Johannes
______________________________________________
[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.
