摘要
阿基米德Copula族在经济、金融方面有着重要的应用,它们是由某些单调递减凸函数所生成的一类Copu-la,这类单调递减的凸函数被称为生成元.不同生成元所生成的阿基米德Copula具有的性质也完全不同.通过g函数,找到了一种通过某些连续的一维分布函数构造阿基米德Copula生成元的方法.另外,讨论了生成元与g函数之间的关系,从而在某些情况下可以扩展阿基米德Copula族.
Archimedean Copulas play an important role in economics and finance, they can be constructed by some functions which are decreasing and convex. The functions which are decreasing and convex are called generators. Different generators could generate different Archimedean Copulas. A method of constructing of Archimedean generators which depends on some one-dimensional continuous distributions has been found by g function. We can obtain this generators by one-dimensional continuous distribution function easily. In addition, the relationship between the g function and generator is disscussed in this paper, thus, Archimedean Copulas can be extended in some cases.
出处
《浙江大学学报（理学版）》
CAS
CSCD
北大核心
2011年第4期391-394,共4页
Journal of Zhejiang University（Science Edition）
基金
中央高校基本科研业务费专项资金资助项目(SWJTU092T37)
