| 非参数核密度估计与Copula |
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| 引用本文： | 龚金国,李竹渝. 非参数核密度估计与Copula[J]. 数理统计与管理, 2009, 28(1): 64-68 |
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| 作者姓名： | 龚金国 李竹渝 |
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| 作者单位： | 西南财经大学,四川,成都,610074;四川大学,四川,成都,610064 |
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| 摘 要： | 本文提出非参数核密度估计-ML方法来估计Copula函数中的未知参数;再由统计检验推断得到能较好描述金融资产之间非线性相关结构的Copula。实证分析表明:可以利用Clayton Copula、Gumbel Copula来描述A股市场上证指数与深证成指之间的非线性相关结构.
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| 关 键 词： | Copula 参数估计 非参数核密度估计 |
Nonparametric Kernel Density Estimation and Copula |
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| GONG Jing-uo,LI Zhu-yu. Nonparametric Kernel Density Estimation and Copula[J]. Application of Statistics and Management, 2009, 28(1): 64-68 |
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| Authors: | GONG Jing-uo LI Zhu-yu |
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| Abstract: | In the paper,we set up a new method named as Nonparametric Kernel Density Estimation -ML method to get estimators of copulas.Then through statistical testing,we can get a suitable copula to measure the nonlinear dependent structure among financial assets.The empirical results shows that Clayton Copula and Gumbel Copula are better to descriptive the dependence between Shanghai and Shenzhen stock markets. |
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| Keywords: | copula parametric estimation nonparametric kernel density estimation |
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