In Distributions, the fit_mle method has not yet been implemented for the Student’s t-distribution. Is there a package where fitting t-distributions may be possible?
I’d use Optim.jl.
The Student’s t distribution doesn’t have sufficient statistics and isn’t in the exponential family, so it isn’t as friendly as most commonly used parametric distributions.
More problematic than all that is that it can be multi-modal.
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