| 一个基于pair-copula法构建高维相依结构的研究 |
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| 引用本文： | 陈清平,程希骏.一个基于pair-copula法构建高维相依结构的研究[J].数理统计与管理,2013,32(2):232-239. |
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| 作者姓名： | 陈清平 程希骏 |
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| 作者单位： | 中国科学技术大学管理学院,安徽合肥,230026 |
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| 基金项目： | 中国科学院知识创新工程重要方向项目(KJCS3-SYW-S02)资助 |
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| 摘 要： | 用pair-copula构建高维相依结构,将n维联合密度函数转化为若干个pair-copula密度函数相乘。在pair-copula的选择上,本文构造了能描述非对称尾部相关性的混合copula函数——M-copula。并在实证分析部分用该方法探索了上证市场上四个板块的相依关系,得到了比较理想的结果。
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| 关 键 词： | 条件分布 pair-copula M-copula D藤 Canonical藤 |
A Study on Pair-copula Constructions of Multiple Dependence |
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| CHEN Qing-Ping CHENG Xi-Jun.A Study on Pair-copula Constructions of Multiple Dependence[J].Application of Statistics and Management,2013,32(2):232-239. |
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| Authors: | CHEN Qing-Ping CHENG Xi-Jun |
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| Institution: | CHEN Qing-Ping CHENG Xi-Jun (Management of University of Science and Technology of China,Anhui Hefei 230026,China) |
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| Abstract: | This paper uses the method,pair copula,to construct multivariate dependence.This approach transforms the n-dimension probability density function into several pair-copulae.On the choice of paircopula, the paper constructs a mixed copula——M-copula,which can describe asymmetric correlation on tail.Then in the empirical analysis,we explore the relationship of four plates in Shanghai Market with the method,and finally get an ideal result. |
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| Keywords: | conditional distributions pair-copula M-copula D-vine Canonical-vine |
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