| 基于Spearman ρ的时变Copula模型的模拟及应用 |
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| 引用本文： | 王沁,王璐,何平.基于Spearman ρ的时变Copula模型的模拟及应用[J].数理统计与管理,2011,30(1):76-84. |
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| 作者姓名： | 王沁 王璐 何平 |
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| 作者单位： | 1. 西南交通大学数学学院,四川,成都,610031;中国科学技术大学统计与金融系,安徽,合肥,230026
2. 西南交通大学数学学院,四川,成都,610031 |
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| 基金项目： | 2009教育部人文社会科学研究项目基金资助(编号09YJCZH104); 中央高校基本科研业务费专项资金资助(编号SWJTU09CX075,SWJTU09ZT37) |
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| 摘 要： | 本文从Spearmanρ入手,利用Spearmanρ在非线性单调变换的情况下保持不变的特点,以及与条件期望预测机制存在的非线性的关系,提出建立时变Copula的模型的新方法;通过建立时变FGM-Copula模型的实例分析表明,这种构建Copula模型的方法较好捕捉了相依机制的时变性,预测了随机变量的趋势,具有一定的优越性。
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| 关 键 词： | 时变Copula 条件期望预测机制 Spearmanρ 回归函数 |
The Simulation and Application of Time-Varying Copula Model Based on Spearman ρ |
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| WANG Qin,WANG Lu,HE Ping.The Simulation and Application of Time-Varying Copula Model Based on Spearman ρ[J].Application of Statistics and Management,2011,30(1):76-84. |
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| Authors: | WANG Qin WANG Lu HE Ping |
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| Institution: | WANG Qin~(1,2) WANG Lu~1 HE Ping~1 (1.College of Mathematics,Southwest Jiaotong University,Sichuan Chengdu 610031,China,2.Department of Statistics and Finance University of Science and Technology of China,Anhui Hefei 230026,China) |
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| Abstract: | In this paper,based on the Spearmanρwhich remains invariability in non-linear monotonic transformation and has non-linear relationship with the prediction mechanism of conditional expectation, the new method of establishing the time-varying Copula model is proposed.Through the example of establishing the time-varying FGM-Copula model and the analysis,it is shown that this method of establishing a time-varying Copula model can capture the time-varying dependent mechanism,and predicted the trend of random variables.The method has certain superiority. |
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| Keywords: | time-varying copula the prediction mechanism of conditional expectation spearmanρ Copula regression functions |
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