| Copula函数的加权平均距离检验方法 |
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| 引用本文： | 陈秀平,杜江.Copula函数的加权平均距离检验方法[J].数理统计与管理,2011,30(4):639-643. |
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| 作者姓名： | 陈秀平 杜江 |
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| 作者单位： | 1. 温州大学,浙江温州,325035
2. 北京工业大学应用数理学院,北京,100124 |
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| 基金项目： | 浙江省教育厅科研项目(Y200906547); 北京工业大学研究生科技基金资助项目(ykj-2010-3774); 温州大学校级科研项目(2007L020) |
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| 摘 要： | 针对无法从定性的角度选择最优Copula函数,本文从定量的角度给出Copula函数的一种加权平均距离检验方法,并给出该检验方法的拒绝域与检验p值,最后证明了此检验方法具有相合性,并给出检验统计量的渐近分布,从而说明此方法可以用于最优Copula函数的选择。
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| 关 键 词： | Copula函数 加权平均距离检验量 相合性 拒绝域 |
The Test of Copula Function Based on the Weighted Average Distance |
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| CHEN Xiu-ping DU Jiang.The Test of Copula Function Based on the Weighted Average Distance[J].Application of Statistics and Management,2011,30(4):639-643. |
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| Authors: | CHEN Xiu-ping DU Jiang |
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| Institution: | CHEN Xiu-ping~1 DU Jiang~2 (1.Wenzhou University,Zhejiang Wenzhou 325035,China,2.College of Applied Sciences,Beijing University of Technology,Beijing 100124,China) |
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| Abstract: | In this paper,based on the weighted average distance,the test of Copula function is proposed from the quantitative point of view,the refused domain and p-value of this test are put forward.At last, the asymptotic property of the proposed test statistic is given,we also proved that the resulting method is the consistency test and showed that this method can be used to select the optimal Copula function. |
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| Keywords: | Copula function weighted average distance test consistency refused domain |
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