哈尔滨商业大学学报(自然科学版)
哈爾濱商業大學學報(自然科學版)
합이빈상업대학학보(자연과학판)
JOURNAL OF HARBIN UNIVERSITY OF COMMERCE(NATURAL SCIENCES EDITION)
2015年
1期
79-82
,共4页
极值Copula%尾部相关函数%尾部相关系数
極值Copula%尾部相關函數%尾部相關繫數
겁치Copula%미부상관함수%미부상관계수
extreme-value Copula%tail dependence function%tail dependence measure
针对一类构造得到的多元极值Copula,研究它的边界性质及尾部相关度量,并给出尾部相关度量的解析表达式。结果表明,若对参数加以约束,则其上尾相关系数可以表示成构成它的Copula的上尾相关系数的凸和。
針對一類構造得到的多元極值Copula,研究它的邊界性質及尾部相關度量,併給齣尾部相關度量的解析錶達式。結果錶明,若對參數加以約束,則其上尾相關繫數可以錶示成構成它的Copula的上尾相關繫數的凸和。
침대일류구조득도적다원겁치Copula,연구타적변계성질급미부상관도량,병급출미부상관도량적해석표체식。결과표명,약대삼수가이약속,칙기상미상관계수가이표시성구성타적Copula적상미상관계수적철화。
According to a class of constructed multivariate extreme-values Copula, the prop-erty of its boundary and the tail dependence measure was studied.The tail dependence pa-rameter of extreme-value copula was also given.Under the condition that some parameters were confined, it showed that the upper tail dependence parameter of the constructed ex-treme-value Copula could be expressed as the covex combination of that of basic copulas.