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Based on the notion of predictive influence functions, the paper develops multivariate limited translation hierarchical Bayes estimators of the normal mean vector which serve as a compromise between the hierarchical Bayes and maximum likelihood estimators. The paper demonstrates the superiority of the limited translation estimators over the usual hierarchical Bayes estimators in terms of the frequentist risks when the true parameter to be estimated departs widely from the grand average of all the parameters. 相似文献
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We shall find a multi-dimensional checkerboard copula of maximum entropy that matches an observed set of grade correlation
coefficients. This problem is formulated as the maximization of a concave function on a convex polytope. Under mild constraint
qualifications we show that a unique solution exists in the core of the feasible region. The theory of Fenchel duality is
used to reformulate the problem as an unconstrained minimization which is well solved numerically using a Newton iteration.
Finally, we discuss the numerical calculations for some hypothetical examples and describe how this work can be applied to
the modelling and simulation of monthly rainfall. 相似文献
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Samuel D. Oman 《Journal of multivariate analysis》2002,80(2):285
The multivariate normal regression model, in which a vector y of responses is to be predicted by a vector x of explanatory variables, is considered. A hierarchical framework is used to express prior information on both x and y. An empirical Bayes estimator is developed which shrinks the maximum likelihood estimator of the matrix of regression coefficients across rows and columns to nontrivial subspaces which reflect both types of prior information. The estimator is shown to be minimax and is applied to a set of chemometrics data for which it reduces the cross-validated predicted mean squared error of the maximum likelihood estimator by 38%. 相似文献
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对于pair-copula中的参数估计,大多假设copula函数的参数和条件变量独立,将参数简化成一个不依赖于条件变量的常数.本文假设copula函数的参数和条件变量不独立,该参数是以条件变量为自变量的一元函数.应用该方法实证分析了“克强指数”三个指标铁路货运量、工业用电量和贷款发放量的对数增长率之间的关系,研究发现该方法优于简化的pair-copula参数估计,并且得出在固定铁路货运量不变时,工业用电量和银行贷款发放量成负相关关系,且这种负相关性随铁路货运量增加而减弱. 相似文献
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Jwaid Tarad De Baets Bernard De Meyer Hans 《Mediterranean Journal of Mathematics》2016,13(5):2911-2934
Mediterranean Journal of Mathematics - A new method to construct semi-copulas is introduced. These semi-copulas are called focal semi-copulas and their construction is based on linear interpolation... 相似文献
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提出两类联系函数,它们是阿基米德联系函数与F réchet-Hoeffd ing界的融合,是正序簇.一类介于F réchet-Hoeffd ing下界与一个特殊的联系函数之间;另一类介于F réchet-Hoeffd ingshang上界与一个特殊的联系函数之间.本文最后提出几个有待解决的问题. 相似文献
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A notion of tail dependence based on operator regular variation is introduced for copulas, and the standard tail dependence used in the copula literature is included as a special case. The non-standard tail dependence with marginal power scaling functions having possibly distinct tail indexes is investigated in detail. We show that the copulas with operator tail dependence, incorporated with regularly varying univariate margins, give rise to a rich class of the non-standard multivariate regularly varying distributions. We also show that under some mild conditions, the copula of a non-standard multivariate regularly varying distribution has the standard tail dependence of order 1. Some illustrative examples are given. 相似文献
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E. de Amo M. Díaz Carrillo J. Fernández-Sánchez 《Journal of Mathematical Analysis and Applications》2012,386(2):528-541
The problem of constructing copulas whose supports are fractals has been studied by Fredricks, Nelsen and Rodríguez-Lallena [G.A. Fredricks, R.B. Nelsen, J.A. Rodríguez-Lallena, Copulas with fractal supports, Insurance Math. Econom. 37 (1) (2005) 42–48]. In this paper we continue on the path traced by these authors. We provide different types of families of self-similar copulas using techniques from Probability and Ergodic Theory to give properties on subsets of their fractal supports. In particular, we give new examples for those copulas and we analyze related topics with mutual singularity of the associated measures, Hausdorff dimension, and the connectedness of their supports. 相似文献
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Abstract A problem that is very relevant in applications of copula functions to finance is the computation of the survival copula, which is applied to enforce multivariate put–call parity. This may be very complex for large dimensions. The problem is a special case of the more general problem of volume computation in high-dimensional copulas. We provide an algorithm for the exact computation of the volume of copula functions in cases where the copula function is computable in closed form. We apply the algorithm to the problem of computing the survival of a copula function in the pricing problem of a multivariate digital option, and we provide evidence that this is feasible for baskets of up to 20 underlying assets, with acceptable CPU time performance. 相似文献
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Thomas Mikosch 《Extremes》2006,9(1):3-20
“But he does not wear any clothes” said the little child in Hans Christian Andersen’s “The Emperor’s New Clothes.”Mikosch’s research is partially supported by the Danish Research Council (SNF) GrantNo 21-04-0400. This is a discussion paper which was initiated at the 4th InternationalConference on Extreme Value Analysis in Gothenburg, 15–19 August, 2005; see. 相似文献
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We consider the integration of two-dimensional, piecewise constant functions with respect to copulas. By drawing a connection to linear assignment problems, we can give optimal upper and lower bounds for such integrals and construct the copulas for which these bounds are attained. Furthermore, we show how our approach can be extended in order to approximate extremal values in very general situations. Finally, we apply our approximation technique to problems in financial mathematics and uniform distribution theory, such as the model-independent pricing of first-to-default swaps. 相似文献
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本文研究了配备Farlie-Gumbel-Morgenstern Copulas的二维随机向量之和的相依性,得到了在这类Copulas函数下两个独立的随机向量之和的Kendall及Spearman相依系数的一般公式;并针对边缘分布分别为指数分布的情况推导出了具体的公式;证明了当边缘分布满足一定的条件时,不存在尾部相依性.此外,对于几种不同边缘分布的情况进行了随机模拟与比较.这些方法及结果对两个企业(公司)合并后某两个随机指标之间的相依性问题的研究具有理论指导意义,为这类问题的进一步探索提供了理论基础. 相似文献
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