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Nonparametric inference on Levy measures and copulas
Copula Levy copula Levy measure Levy process nonparametric statistics Pareto Levy copula weak convergence
2012/5/25
In this paper nonparametric methods to assess the multivariate L\'evy measure are introduced. Starting from high-frequency observations of a L\'evy process X, we construct estimators for its tail inte...
Shuffles of copulas and a new measure of dependence
copulas shuffles of Min measure-preserving, Sobolev norm
2012/4/18
Using a characterization of Mutual Complete Dependence copulas, we show that, with respect to the Sobolev norm, the MCD copulas can be approximated arbitrarily closed by shuffles of Min. This result i...
基于Copulas加速寿命试验中竞争失效模型的统计分析
Copulas 加速寿命试验 竞争失效模型 统计分析
2012/4/9
在已有讨论竞争失效数据统计分析的文献中,大多数都假设失效机理之间相互独立.本文使用copula作为连接函数来考查加速寿命试验中的竞争失效模型.通过模拟,把失效机理相关时得到的结果与失效机理独立时得到的结果做了比较.最后分析了文献中的一个实际数据.
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...
