与极值相关的两类Copula

Two Copulas associated with extremum

利用阿基米德Copula,生存阿基米德Copula,对随机变量与极值统计量之间的相依关系进行了初步的探讨,构造了两类Copula.并在此基础上提出了一种生成Copula的方法.这种方法将特殊Copula函数结构应用到逆方法之中,为生成具有特殊性质的相依结构提供了平台.

The dependence structure between random variable with extreme statistics was discussed by using Archimedean Copula and survival Archimedean Copula. Based on the relationship between extreme statistics and random variables, two Copulas were established, which provides a new method of creating Copula. The method of creating Copula applied special copula structure to the inversion method, which provides a platform formation of the special nature of the dependence structure.