不同copula比较 D.doc
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Copula 汇总表
Copula C(u, v; θ) c(u, v; θ) τ ρs θ Gaussian ① (-1,1) t ② ③ (-1,1) Gumbel
[1,+() Clayton
(0,+() Frank
②[1] [1][2] (-(,+()\{0} AMH
[3][4] [-1,1) FGM [-1,1] Joe
[1,+() A12
[1,+() A14
[1,+() Plackett
(0,+()\{1}
注:①;②,,k = 1,2。
Understanding relationships using Copulas pp.10
Stochastic Frontier Models with Correlated Error Components pp.15
Bayesian copula selection pp.814
On the relationship between Spearman’s rho and Kendall’s tau for pairs of continuous random variables pp.2149
令H为具有边缘分布F、G的联合分布函数,那么存在一个Copula函数C,使得
如果F,G是连续的,则函数C是唯一的。
对数正态分布
Copula类型:Gaussian Copula 、Gumbel Copula、Clayton Copula、Frank Copula
Gaussian Copula
(Continuous Bivariate Distributions pp36)
(求导)
其中,则
Gumbel Copula
(Copula 及其在金融分析上的应用,pp22)
(UNDERSTANDING RELATIONSHIPS USING COPULAS)
Clayton Copula
(Copula 及其在金融分析上的应用,pp23)
(UNDERSTANDING RELATIONSHIPS USING COPULAS)
(Bivariate Distribution Modeling of Tree Diameters and Heights:
Dependency Modeling Using Copulas pp6)
Frank Copula
(Copula 及其在金融分析上的应用,pp.24)
(UNDERSTANDING RELATIONSHIPS USING COPULAS)
Clayton Copula
(Copula 及其在金融分析上的应用,pp23)
(UNDERSTANDING RELATIONSHIPS USING COPULAS)
Gumbel-Barnett Copula
(Continuous Bivariate Distributions,pp.95)
AMH Copula
(Bivariate Distribution Modeling of Tree Diameters and Heights:
Dependency Modeling Using Copulas pp6)
错误
Using copulas to measure association between ordinal measures of health and income pp14
错误
The health-economic applications of copulas:methods in applied econometric research pp48
正确
Bayesian copula selection,pp814
On the relationship between Spearman’s rho and Kendall’s tau for pairs of continuous random variables pp.2149
其中:,
Stochastic Frontier Models with Correlated Error Components pp.6
FGM Copula
(Bivariate Distribution Modeling of Tree Diameters and Heights:
Dependency Modeling Using Copulas pp6)
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