Maximum number of dimensions for copulacdf('t', U, rho, nu)

Hi everyone,

I tried calculating the CDF of a Student t copula for a gof test, but got this error:

 Error using mvtcdf (line 195)
 Number of dimensions must be less than or equal to 25.
 Error in copulacdf (line 75)
        p = mvtcdf(tinv(u,nu),Rho,nu);

Is the maximum number of dimensions for this calculation really 25? The same input parameters are working for the copulapdf method.

Thanks in advance for your help.

Answer 1

[the cyclist]

If you get a file listing ...

type mvtcdf

you will see that there is, in fact, a hard-coded limit of 25 on the dimensions.

Caveat emptor, but you could copy that file to your own "my_mvtcdf", change that limit, and run that instead.

[Stefan M]

Thank you for the fast answer.