Shape-based scenario generation using copulas
نویسندگان
چکیده
منابع مشابه
Shape-based scenario generation using copulas
4 The purpose of this article is to show how the multivariate structure (the ”shape” of the dis5 tribution) can be separated from the marginal distributions when generating scenarios. To do 6 this we use the copula. As a result, we can define combined approaches that capture shape with 7 one method and handle margins with another. In some cases the combined approach is exact, in 8 other cases, ...
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ژورنال
عنوان ژورنال: Computational Management Science
سال: 2009
ISSN: 1619-697X,1619-6988
DOI: 10.1007/s10287-009-0110-y