| 基于截断tau的copula模型选择及应用 |
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| 引用本文： | 王沁,王璐,何平. 基于截断tau的copula模型选择及应用[J]. 数理统计与管理, 2008, 27(1): 118-123 |
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| 作者姓名： | 王沁 王璐 何平 |
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| 作者单位： | 1. 西南交通大学数学系,四川成都,610031
2. 西南交通大学数学系,四川成都,610031;西南财经大学统计学院,四川成都,610000 |
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| 基金项目： | 国家社会科学基金 , 西南交通大学青年教师科研起步项目 |
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| 摘 要： | 本文引进了截断tau,计论了它与生存阿基米德Copula之间的关系,并在此基础上提出一种新的选择Copula模型的方法,实例分析表明,这种构建Copula模型的方法较好反映了数据内在的信息,客观描述金融变量的相关性,便于尾部相关性分析,为金融市场相关性分析提供了一种新途径.
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| 关 键 词： | 载断tau Copula 生存阿基米德Copula Kendall的tau |
| 文章编号： | 1002-1566（2008）01-0118-06 |
| 收稿时间： | 2007-01-06 |
| 修稿时间： | 2007-01-06 |
The Selection and Application of Copula Model by the Truncated tau |
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| WANG Qin,WANG Lu,HE Ping. The Selection and Application of Copula Model by the Truncated tau[J]. Application of Statistics and Management, 2008, 27(1): 118-123 |
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| Authors: | WANG Qin WANG Lu HE Ping |
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| Abstract: | In this paper ,the truncated tau is introduced,the relation between the truncated tau and survival Archimedean copula are studied.Based on the relation,a new selective method of copula model is put forward. The copula model between different Stock indexes was preceded.The results show that the internal information of data can better be reflected,the correlation structures between Stock indexes can objectively, be described by the copula model,and the calculation of tail dependence is easier with copula.The new analysis method of correlation structure is presented from the truncated tau. |
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| Keywords: | the truncated tau copula survival Archimedean Kendall's tau |
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