Copulas and Their Applications

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Other Title
  • 接合分布関数とその応用―統計的従属性と1次元周辺分布を所与とした多変量モデリング
  • オボエガキ セツゴウ ブンプ カンスウ ト ソノ オウヨウ トウケイテキ ジュウゾクセイ ト 1ジゲン シュウヘン ブンプ オ ショヨ ト シタ タヘン モデリング
  • 統計的従属性と1次元周辺分布を所与とした多変量モデリング

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Abstract

Copulas have recently been of great interest to statisticians as well as financial econometricians since they give a promising, flexible tool for understanding dependence among random variables, and for modeling and simulating nonnormal multivariate data. In its simplest form, a d-dimensional copula function (or simply d-copula) is a d-dimensional distribution function with all univariate marginals being U(0, 1) distribution. The usefulness of copulas comes from Sklar's theorem, which states that any d-dimensional distribution function F can be represented as

Journal

  • Ouyou toukeigaku

    Ouyou toukeigaku 32 (2), 77-88, 2003

    Japanese Society of Applied Statistics

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