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| 乘积阿基米德Copula | |
| 引用本文： | 王沁,易文德,王璐.乘积阿基米德Copula[J].浙江大学学报(理学版),2010,37(2):148-152. |
| 作者姓名： | 王沁 易文德 王璐 |
| 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. 重庆文理学院数学与统计学院,重庆,永川,402160 3. 西南交通大学数学学院,四川,成都,610031 |
| 基金项目： | 西南交通大学校基金项目，教育部人文社科项目 |
| 摘 要： | 在乘法模式下,对阿基米德Copula进行了推广,提出了乘积阿基米德Copula.通过构造两类特殊的乘积阿基米德Copula,举出了若干乘积阿基米德Copula例子,并分析了关于尾部相依性、对称性等方面的性质.最后,在探讨阿基米德Copula和乘积阿基米德Copula的关系中,提出几个值得进一步讨论的问题. |
| 关 键 词： | 阿基米德Copula 乘积阿基米德Copula 尾部相依性 对称性 |
Multiplicative Archimedean Copula |
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| WANG Qin,YI Wen-De,WANG Lu.Multiplicative Archimedean Copula[J].Journal of Zhejiang University(Sciences Edition),2010,37(2):148-152. | |
| Authors: | WANG Qin YI Wen-De WANG Lu |
| Institution: | 1.Department of Statistics and Finance,University of Science and Technology of China,Hefei 230026,China;2.College of Mathematics,Southwest Jiaotong University,Chengdu 610031,China;3.Department of Maths ＆ Statistics,Chongqing University of Arts and Sciences,Yongchuan 402160,Chongqing,China) |
| Abstract: | Based on the muhiplicative model,a wide class of bivariate Copula named as multiplicative Arehimedean Copula was constituted,which generalizes the known family of Archimedean Copula.By constituting two new class of multiplicative Arehimedean Copula,several interesting examples were constituted,and several properties conceming tail dependence,symmetry were depicted.By investigating the relationship between the multiplicative Arehimedean Copula and the classical Archimedean Copula,some difficult problems worthy of discussion were put forward. |
| Keywords: | Archimedean Copula multiplicative Archimedean Copula tail dependence symmetric |
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