摘要
针对目前多元copula的构造方法存在的局限性,提出了构造多元copula的新方法.本文首先定义的一类新的函数-g函数,基于g函数建立了2-copula的构造方法,并讨论了该方法的存在性与唯一性问题,然后将2-copula的构造方法直接扩展到n-copula构造的情形.最后给出了g函数的一种寻求方法,从而说明此copula构造方法的可行性.
The new method of constructing multivariate copulas is provided to avoid limits of constructing multivariate copulas method presently. First of all, this paper defines a new kind of function, g function, and set up a new method of constructing 2-copula depended on g function. The existence and unique properties of the method are discussed in this paper, then the constructing procedures are extended to n-copulas directly. Finally, a new method of finding g function has been set up, so that the new method of constructing copula is feasible.
出处
《数理统计与管理》
CSSCI
北大核心
2008年第5期843-849,共7页
Journal of Applied Statistics and Management
基金
高速列车动车组的寿命与可靠性设计技术(课题编号2060AA04Z406)
