二元Copula的性质

给出二元Copula为弱Schur凹的充分必要条件.引入弱Schur几何凹的概念,讨论了一类Copula的弱Schur凹及其弱Schur几何凹.综合考虑了左边块对称与右边块对称,回答了王沁提出的几个问题,提出几个进一步讨论的问题.     

一类对称函数的Schur凸性

讨论了一类对称函数的Schur凸性和凹性,解决了关开中在文献Some propertiesof a class of symmetric functions中所提出的公开问题.作为应用,利用控制理论建立了若干不等式.     

次对角部分不超过次对角函数的Copula生成

本文研究了约束条件下Copula的生成问题,约束条件为生成的Coula的次对角部分不超过给定的次对角函数.利用乘法、复合运算、凸组合以及取大取小运算,获得了一系列的次对角函数,推广了De Baets等人的结果.     

Gini平均值公开问题的解

对固定的（a,b）∈R×R,Gini平均值S（a,b;x,y）关于（x,y）∈（0,∞）×（0,∞）的Schur凸性或Schur凹性问题是目前的一个公开问题.本文证明了S（a,b;x,y）关于（x,y）∈（0,∞）×（0,∞）为Schur凸当且仅当（a,b）∈{（a,b）：a≤0,b≤0,a＋b1}以及Schur凹当且仅当（a,b）∈{（a,b）：b≤0,b≤a,a＋b≤1}∪{（a,b）：a≤0,a≤b,a＋b≤1}.     

二元copula Schur-凹的一个新特征

给出二元copula Schur-凹的一个新特征,利用此特征研究若干copula的Schur-凹性,同时研究此特征与上迁移之间的联系.     

线性核Toader平均的Schur凸性和Schur几何凸性

为了研究线性核Toader平均Mr(a,b)在R_(++)²上的Schur凸性和Schur几何凸性,利用控制不等式的相关理论得到结论:当r≥1时,M_r(a,b)在R_(++)2上的Schur凸性和Schur几何凸性,利用控制不等式的相关理论得到结论:当r≥1时,M_r(a,b)在R_(++)²上是Schur凸函数;当r≤1时,Mr(a,b)在R_(++)2上是Schur凸函数;当r≤1时,Mr(a,b)在R_(++)²上是Schur凹函数;当r≥1/2时,M_r(a,b)在R_(++)2上是Schur凹函数;当r≥1/2时,M_r(a,b)在R_(++)²上是Schur几何凸函数.最后,依据M_r(a,b)的Schur凸性和Schur几何凸性建立了新的不等式.     

极值copula的统计推断及实证研究

为了分析由极端事件所引起的巨额损失变量之间的相依关系,本文引入了比一般copula函数更有效的极值copula和上尾copula。我们介绍copula的对角截面以确定上尾相依系数。基于极大似然法,讨论了关于这些copula函数类的半参数估计方法。通过构建Cramer-Von Mises统计量对copula的拟合优度进行假设检验。在实证分析部分,我们通过具体的实例来说明,在应用研究中该如何选取最优的copula以描述变量之间的相关性。     

完全对称函数的Schur凸性

定义了一完全对称函数并研究该称函数的Schur凸性,Schur乘性凸性及Schur调和凸性,作为应用探讨了与其相关的一些不等式.     

一类条件不等式的控制证明与应用

通过判断相关函数的Schur凸性、Schur几何凸性和Schur调和凸性,证明并推广了一类条件不等式,并据此建立了某些单形不等式.     

关于一类对称函数的Schur凸性

利用Schur凸函数、Schur几何凸函数和Schur调和凸函数的有关性质简化证明了一类与对数凸函数有关的对称函数的Schur凸性、Schur几何凸性和Schur调和凸性.     

On the construction of copulas and quasi-copulas with given diagonal sections

We study a method, which we call a copula (or quasi-copula) diagonal splice, for creating new functions by joining portions of two copulas (or quasi-copulas) with a common diagonal section. The diagonal splice of two quasi-copulas is always a quasi-copula, and we find a necessary and sufficient condition for the diagonal splice of two copulas to be a copula. Applications of this method include the construction of absolutely continuous asymmetric copulas with a prescribed diagonal section, and determining the best-possible upper bound on the set of copulas with a particular type of diagonal section. Several examples illustrate our results.     

Are copulas unimodal?

Three types of unimodality (central convex, block, and star) are considered and the corresponding sets of unimodal copulas determined. Examples of star unimodal copulas, absolutely continuous, with a nonnull singular part, and even singular, are given. Necessary and sufficient conditions for a diagonal to be the diagonal section of a star unimodal copula are also indicated. Attention is also paid to the Archimedean case.     

Intervals of 1-Lipschitz aggregation operators, quasi-copulas, and copulas with given affine section

Best lower and upper bounds for 1-Lipschitz aggregation operators with a given affine section are given. These are used to determine best bounds for quasi-copulas and copulas with a given affine section. However, in general there is no greatest copula with a given non-decreasing affine section. These results are used to study (quasi-)copulas with arbitrary affine sections.     

关于多分裂方法收敛性的一些结果

1引言 考虑在并行计算机上解大型线性方程组AX=b假定有K台处理机可供使用，并且对于局部数据，处理机能执行不同的指令序列，毗邻的处理机之间能自然地通讯。     

Schur convexity for a class of symmetric functions

The Schur convexity and concavity of a class of symmetric functions are discussed, and an open problem proposed by Guan in Some properties of a class of symmetric functions is answered. As consequences, some inequalities are established by use of the theory of majorization.     

Constructing hierarchical Archimedean copulas with Lévy subordinators

A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical Archimedean survival copula. This approach suggests an efficient sampling algorithm and allows one to easily construct several new parametric families of hierarchical Archimedean copulas.     

Tail dependence of the Gaussian copula revisited

Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-being of firms and is thus of pivotal importance in risk analysis.When it comes to quantifying the extent of tail dependence, it is generally agreed that measures of tail dependence must be independent of the marginal distributions of the risks but rather solely copula-dependent. Indeed, all classical measures of tail dependence are such, but they investigate the amount of tail dependence along the main diagonal of copulas, which has often little in common with the concentration of extremes in the copulas’ domain of definition.In this paper we urge that the classical measures of tail dependence may underestimate the level of tail dependence in copulas. For the Gaussian copula, however, we prove that the classical measures are maximal. The implication of the result is two-fold: On the one hand, it means that in the Gaussian case, the (weak) measures of tail dependence that have been reported and used are of utmost prudence, which must be a reassuring news for practitioners. On the other hand, it further encourages substitution of the Gaussian copula with other copulas that are more tail dependent.     

Matlab code for sorting real Schur forms

In Matlab 6, there exists a command to generate a real Schur form, wheras another transforms a real Schur form into a complex one. There do not exist commands to prescribe the order in which the eigenvalues appear on the diagonal of the upper (quasi‐) triangular factor T. For the complex case, a routine is sketched in Golub and Van Loan (Matrix Computations (3rd edn). The John Hopkins University Press: Baltimore and London, 1996), that orders the diagonal of T according to their distance to a target value τ. In this technical note, we give a Matlab routine to sort real Schur forms in Matlab. It is based on a block‐swapping procedure by Bai and Demmel (Linear Algebra and Its Applications 1993; 186 : 73) We also describe how to compute a partial real Schur form (see Saad (Numerical methods for large eigenvalue problems. Manchester University Press: Manchester, 1992.)) in case the matrix A is very large. Sorting real Schur forms, both partially and completely, has important applications in the computation of real invariant subspaces. Copyright © 2002 by John Wiley & Sons, Ltd.     

Comparisons of series and parallel systems with components sharing the same copula

The paper is devoted to study stochastic comparisons of series and parallel systems with vectors of component lifetimes sharing the same copula. We show that, under some conditions on the common copula, the series system with heterogeneous components is worse than the series system with homogeneous components having a common reliability function, which is equal to the average of the reliability functions of the heterogeneous components. However, we show that this property is not necessarily true for arbitrary copulas. We obtain similar properties for parallel systems and for general coherent systems. For these purposes, we introduce in our analysis the notion of the mean function of a copula. Copyright © 2009 John Wiley & Sons, Ltd.     

Distorted Mix Method for constructing copulas with tail dependence

This paper introduces a method for constructing copula functions by combining the ideas of distortion and convex sum, named Distorted Mix Method. The method mixes different copulas with distorted margins to construct new copula functions, and it enables us to model the dependence structure of risks by handling the central and tail parts separately. By applying the method we can modify the tail dependence of a given copula to any desired level measured by tail dependence function and tail dependence coefficients of marginal distributions. As an application, a tight bound for asymptotic Value-at-Risk of order statistics is obtained by using the method. An empirical study shows that copulas constructed by this method fit the empirical data of SPX 500 Index and FTSE 100 Index very well in both central and tail parts.