搜索结果: 1-5 共查到“数理统计学 Copula”相关记录5条 . 查询时间(0.506 秒)
This paper discusses the correlation structure between London Interbank Offered Rates (LIBOR) by using copula function. We start from one simplified model of Brace, Gatarek & Musiela (1997) and find o...
Copula function’s concentration set and its concentrated partition
Copula function local correlation structure concentration set concentration measure
2016/1/20
The research on the local correlation structure of copula function is an attractive topic.This paper investigates bivariate copula function’s local correlation structure by defining its concentration ...
Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
Change point test Copula Empirical copula process Nonparametric estimation Time series Strong mixing Multiplier central limit theorem
2012/6/29
Considering multivariate strongly mixing time series, nonparametric tests for a constant copula with specified or unspecified change point (candidate) are derived; the tests are consistent against gen...
连接函数(Copula)理论及应用
Copula Sklar’s定理 Frechet-Hoeffding bounds 金融风险
2011/11/11
介绍连接函数(Copula)产生的背景条件;然后对连接函数的性质作进一步探讨,并对其分类进行较详细的介绍,比较各个函数的性质;最后对其在金融风险等各方面的应用作介绍.
针对沪深股指,讨论了Gaussian Copula与t-Copula的密度函数,并进行相关性建模，采用二步估计法对所建模型进行参数估计并给出了相关性指标。 最后,通过Monte Carlo模拟的方法比较了Copula关联结构之间的差异。