条件阿基米德COPULA

《条件阿基米德COPULA》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、西南交通大学硕士学位论文条件阿基米德COPULA姓名：翁小艳申请学位级别：硕士专业：概率论与数理统计指导教师：何平20080401西南交通大学硕士研究生学位论文第1I页收敛性、和尾相依性，得出了此类条件Copula的上界可以得到有效的改善，由Frechet-Hoeffding上界M(甜，v)改进为Ml(甜，1，)=—等等有用的结论，并“TV一“y且得出Ali—Mikhail—Hap族copula的上界都为Ml：—』∑一。第四章讲述了材+1，一洲miIn(x，y)>f与max(X，】，)≤f条件下的

2、条件Copula的性质，并发现此种条件ArchimedeanCopula与第二章的条件ArchimedeanCopula的相似之处。关键词：CopulaA．rchimedeanCopula条件Copula分布函数相依性AbstractDependencerelationsbetweenrandomvariablesisoneofthemostwidelystudiedsubjectsinprobabilityandstatistics．ThetheoryofcopulaiSmoreandmorep

3、erfect，andisusedmoreandmorewidely．Wemayhaveknowthedependencerelationofsomevariables，buthowtousetheknowndependencerelationtodetectdependentstructureoftheunkownvariablesortheeffectontheullkownvariables．andhowtheknownvariableshavealleffectontheunkownvari

4、ablesandSOon，whichareallourconcemedquestions．Sointhisarticle，wemainlytalkaboutsevareltypesofdependencerelationbetweentheconditionaldistributionfunctionsandthecorrespondingconditionalcopulas，conditionalCopulasandunconditionalcopulas，whicharevariableand

5、invanable，andhoWtheyvary．Inthisarticle，wemainlydiscussthepropertiesofconditionalCopulas，andgetsomeimportantconclusions．Inthesecondchapter,wegetthisconclusion：TheconditionalArchimedeanCopulasC[训(“，y)arestillArchimedeancopulasandtheinversegenerateris“水f

6、)．坐掣掣⋯k。considertheconditional．ArchimedeanCopulasandtheirpropertiesunderthecondition形≤W，including(1)ordemess：whenw≤z，C【。，w】(“，V)<--q¨】(“，V)andconditionalCopulaspreservestheconcordancerelationbetweentwoArchimedeanCopulas；，(2)boundness：conditionalCopula

7、spreservestheFrecherupperbound；(3)convergmce：when矽∈屯(O<

8、■■●■●■■●■■■●■■■■■●■■●●■■■●●●■■●_●●-_●-_●_-●●-_●-●●-■______●_-●_-___-●_-●●●●_-一II————I●_-_--I--l__’-I_●_一thefollowingconclusion：theupperboundcallbeimprovedtoM(／d,1，)=材+V一“Vandsomeotherusefullconclusion．Inthefourthchapter,weconsidertheproperties