Long time to process - fit copula model

4 views (last 30 days)
Hi, Matlab is taking a long time to process the code below. If I reduce the number of stocks to 6, it computes fast. If I increase to 25 which is the number that I need it does not end the calculation, I waited almost an hour (should I wait more ?) and I have to stop it. Is there another way to do it ?
%% Fit a copula model
lowerTail = 0.07; upperTail = 0.93;
for idx = 25:-1:1 currentRet = returns(:,idx); marginal{idx} = paretotails(currentRet, lowerTail, upperTail, 'kernel'); U(:,idx) = cdf(marginal{idx}, currentRet); end [rho, nu] = copulafit('t', U);

Accepted Answer

Bernhard Suhm
Bernhard Suhm on 11 Oct 2018
Sounds like you need to bring some parallelization to bear. If your computer had multiple cores, you could leverage them if you also had the Parallel Computing toolbox.
  1 Comment
Flavio on 11 Oct 2018
Thanks Bernhard I will try to buy it then

Sign in to comment.

More Answers (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by