Copulas and Their Applications
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- Tsukahara Hideatsu
- Department of Economics, Seijo University
Bibliographic Information
- Other Title
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- 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
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- Ouyou toukeigaku
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Ouyou toukeigaku 32 (2), 77-88, 2003
Japanese Society of Applied Statistics
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Keywords
Details 詳細情報について
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- CRID
- 1390282679418358016
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- NII Article ID
- 10011938326
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- NII Book ID
- AN00330942
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- ISSN
- 18838081
- 02850370
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- NDL BIB ID
- 6805223
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- Text Lang
- ja
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- Data Source
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- JaLC
- NDL
- Crossref
- CiNii Articles
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- Abstract License Flag
- Disallowed