Long time to process - fit copula model

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Flavio am 5 Okt. 2018
Kommentiert: Flavio am 11 Okt. 2018
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);

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Bernhard Suhm
Bernhard Suhm am 11 Okt. 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.
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Flavio am 11 Okt. 2018
Thanks Bernhard I will try to buy it then

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