Likelihood estimation on S&P 500 (d=98)
-46.6Neg Log-Likelihood (-ℓ̄)R-vine
Evaluation results
| Method | Links | ||
|---|---|---|---|
| R-vine|θ|=3,7062026.05 | -46.6 | -87.3 | |
| Nested Gumbel|θ|=122026.05 | -21.2 | -42.5 | |
| Nested Frank|θ|=122026.05 | -20.6 | -41.2 | |
| Nested Clayton|θ|=122026.05 | -20.3 | -40.6 |