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Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas
Dependence Modeling Arrival Times Sampling Archimedean Copula Gumbel-Hougaard Copula Marshall-Olkin Copula
2012/4/28
This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the rel...
We introduce a family of copulas which are locally piecewise uniform in the interior of the unit cube of any given dimension. Within that family,the simultaneous control of tail dependencies of all pr...
Tails of correlation mixtures of elliptical copulas
Copula tail dependence penultimate tail dependence stochastic correlation Gaussian copula t -copula stock market return
2010/11/3
Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail dependence are much ...