An Introduction to Copulas 3
نویسنده
چکیده
These notes provide an introduction to modeling with copulas. Copulas are the mechanism which allows us to isolate the dependency structure in a multivariate distribution. In particular, we can construct any multivariate distribution by separately specifying the marginal distributions and the copula. Copula modeling has played an important role in finance in recent years and has been a source of controversy and debate both during and since the financial crisis of 2008 / 2009.
منابع مشابه
Editorial to the special issue on "Random Variables, Joint Distribution Functions, and Copulas"
= 0 if x j = 0 for at least one index j, and (3) all n-dimensional differences of C are nonnegative. There he further announced what we now call Sklar's theorem. In the Kybernetika paper he sketched the proof of the above statement, developed some of its consequences, and discussed various connections between copulas and random variables, associative copulas, binary operations on spaces of one-...
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Goodness-of-Fit Testing for Copula-based models with Applications in Atmospheric Science by Albert Rapp The University of Wisconsin–Milwaukee, 2017 Under the Supervision of Professor Vincent E. Larson Every elementary probability course discusses how to construct joint distribution functions of independent random variables but joint distribution functions of dependent random variables are usual...
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تاریخ انتشار 2016