| 基于时变Marshall-Olkin Copula模型的系统寿命的度量及模拟 |
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| 引用本文： | 王沁,王璐,唐家银. 基于时变Marshall-Olkin Copula模型的系统寿命的度量及模拟[J]. 数学的实践与认识, 2010, 40(4) |
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| 作者姓名： | 王沁 王璐 唐家银 |
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| 作者单位： | 1. 中国科学技术大学统计与金融系,安徽,合肥,230026;西南交通大学数学学院,四川,成都,610031
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(09YJCZH104); 西南交通大学校基金(2008B07) |
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| 摘 要： | 利用Kendall的tau与总体参数一一对应的关系,构造了时变的Marshall-OlkinCopula的模型;并基于蒙特卡罗模拟(MC)技术获得的样本数据建立了时变Marshall-Olkin Copula的模型.通过下尾相依机制的分析,说明了时变Marshall-OlkinCopula的模型,不仅能有效描述了系统寿命变化的波动性,还能捕捉了下尾相依机制的时变性.
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| 关 键 词： | 时变Marshall-Olkin Copula模型 蒙特卡罗模拟 Kendall的tau 下尾相依性 |
Measurement and Simulation of The System Life Based on Time-varying Marshall-olkin Copula Model |
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| WANG Qin,WANG Lu,TANG Jia-Yin. Measurement and Simulation of The System Life Based on Time-varying Marshall-olkin Copula Model[J]. Mathematics in Practice and Theory, 2010, 40(4) |
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| Authors: | WANG Qin WANG Lu TANG Jia-Yin |
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| Affiliation: | WANG Qin~(1,2),WANG Lu~2,TANG Jia-Yin~(1,2) (1.Department of Statistics , Finance,University of Science , Technology of China,Hefei 230026,China) (2.Department of Mathematics,Southwest Jiaotong University,Chengdu 610031,China) |
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| Abstract: | First,based on one-to-one correspondence of Kendall's tau and population parameter, the time-varying Marshall-Olkin Copula model is made.Secondly,based on sample data obtained by Monte Carlo Simulation(MC) technology,the time-varying Marshall-Olkin Copula model is established.At last,through the analysis of the lower tail dependence,it is shown the time-varying Marshall-Olkin Copula not only can effectively describe volatility of the system life changes,but also captured the f time-varying dependence of the... |
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| Keywords: | time-varying marshall-olkin copula mode monte carlo simulation kendall's tau the lower tail dependence |
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