搜索结果: 1-15 共查到“数学 copula”相关记录16条 . 查询时间(0.093 秒)
Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Dynamic copula-based nonparametric estimation of rank-tracking probabilities with longitudinal data
动态copula 纵向数据秩 跟踪概率 非参数估计
2023/5/10
The rank-tracking probability (RTP) is a useful statistical index for measuring the ``tracking ability'' of longitudinal disease risk factors in biomedical studies. A flexible nonparametric method for...
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 ...
基于Copula模型的股市收益率与成交量的相关分析
Copula函数 收益率 成交量 相关性
2014/1/9
建立了基于AR(1)-GARCH(1,1)的Gumbel Copula模型，并以此为基础刻画了中国房地产股市收益率与成交量之间的相关性.通过AIC信息准则进行拟合优度检验发现，Gumbel Copula函数模型能够更好地刻画收益率与成交量之间的相关结构，收益率与成交量之间存在上尾高的非对称相关，以及很弱的正相关的特征.
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.
Some Aspects of Modeling Dependence in Copula-based Markov chains
Markov chains copula mixing conditions reversible processes
2011/8/31
Abstract: Dependence coefficients have been widely studied for Markov processes defined by a set of transition probabilities and an initial distribution. This work clarifies some aspects of the theory...
Copula-based generation of degree-associated networks
Copula-based generation degree-associated networks
2011/3/1
Di erent dynamical processes on complex networks such as epidemic spreading, information propagation or cascading phenomena are highly a ected by the underlying topologies as characterized by, for ins...
Probability distributions and estimation of Ali-Mikhail-Haq copula
Dependence measure Tail dependence
2010/9/21
The Pearson product-moment correlation commonly used as statistical dependence measure was developed assuming normal marginal and addresses only linear dependence. In most applications, the distributi...
Weak convergence of empirical copula processes under nonrestrictive smoothness assumptions
Archimedean copula Brownian bridge empirical copula empirical process
2011/1/20
Weak convergence of the empirical copula process is shown to hold under the assumption that the first-order partial derivatives of the copula exist and are continuous on certain subsets of the unit hy...
Multivariate Copula Expressed by Lower Dimensional Copulas
Multivariate copula Junction tree Conditional independence
2010/12/7
Modeling of high order multivariate probability distribution is a difficult problem which occurs in many fields. Copula approach is a good choice for this purpose, but the curse of dimensionality stil...
Perturbed Copula: Introducing the skew effect in the co-dependence
Perturbed Copula skew effect co-dependence
2010/4/27
Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian copula approach allows ...
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。
结合动态copula和GARCH模型,发展了双标的型未定权益的定价方法.针对诸如非对称、
尖峰态和厚尾现象等各种金融中的固有因素,采用NIG分布拟合于残差量.而标的资产之间的相关结构由动态copula来刻画.以上海证券指数和深圳证券指数为双标的资产最大认购期权为例,理论方法得到了有效的实证结果.