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基于“藤”结构的高维动态Copula的构建
引用本文:杜子平,闫鹏,张勇.基于“藤”结构的高维动态Copula的构建[J].数学的实践与认识,2009,39(10).
作者姓名:杜子平  闫鹏  张勇
作者单位:1. 经济与管理学院,天津科技大学,天津,300222
2. 天津市房地产开发经营集团,天津,300050
摘    要:高维化和动态化是当前Copula理论研究和应用的两个重要方向.采用图形建模工具中"藤"的层叠结构,以二元动态Copula取代原有二元静态Copula作为"藤"的节点,将高维Copula建模中"藤"的方法与动态Copula相结合,构造了"动态藤Copula".实证表明,高维动态藤Copula较相应的高维静态藤Copula对数据的概率模型的似然率更高.

关 键 词:  Copula  多元分布  动态Copula

Multivariate Dynamic Copula Construction Based on Vine Structure
DU Zi-ping,YAN Peng,ZHANG Yong.Multivariate Dynamic Copula Construction Based on Vine Structure[J].Mathematics in Practice and Theory,2009,39(10).
Authors:DU Zi-ping  YAN Peng  ZHANG Yong
Abstract:Multivariate Copula and Dynamic Copula are two important directions in the Copula theory and application. A graphical tool, vine, with cascading structure in the graphic modeling theory is introduced. And we take the bivariate conditional Copulas, instead of usual static Copulas, as the nodes of the vine, combine the multivariate copula and conditional copula, construct a multivariate dynamic copula based on vine structures, named multivariate dynamic vine copula. Empirical results demonstrate that, the multivariate dynamic copula gets higher likelihood than that of the multivariate static copula.
Keywords:Copula
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