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基于Pair—copula方法的高维相关结构模型的构建 被引量:1

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摘要 文章在Bedford、Cooke、Joe的工作基础上,利用条件独立的简单构造模块(pair—copula)对多元数据进行建模,模型方案是将多元密度函数分解成一系列pair—copula,为copula理论在高维下的应用提供理论基础,并给出在该模型下进行参数估计的算法。
作者 卢颖 杜子平
机构地区 天津科技大学
出处 《统计与决策》 CSSCI 北大核心 2008年第17期15-17,共3页 Statistics & Decision
基金 国家自然科学基金资助项目(70671074)
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参考文献4

  • 1Joe, H., Multivariate Models and Dependence Concepts [M]. London: Chapman&Hall, 1997.
  • 2Bedford, T., Cooke, R.M. Probability Density Decomposition for Conditionally Dependent Random Variables Modeled by Vines[J]. Annals of Mathematics and Artificial Intelligence, 2001, (32).
  • 3Roger, B. Nelson. An Introduction to Copulas[M]. New York: SpringerVerlog, 1999.
  • 4R.M. Cooke. Markov and Entropy Properties of Tree-and Vine-Dependent Variables [J]. Proceedings of the ASA Section on Bayesian Statistical Science, 1997.

同被引文献16

  • 1史道济,邸男.关于外汇组合风险相关性的分析[J].系统工程,2005,23(6):90-94. 被引量:4
  • 2JoeH. Family of m-variate Distributions with Given Margins and m(m-l)/2 Bivariate Dependence ParametersfJ], Distributions withFixed Marginals and Related Topics, 1996,28.
  • 3BedfordT, R. M. Cooke. Probability Density Decomposition for Condi-tionally Dependent Random Variables Modeled by Vines[J].Annals ofMathematics and Artificial Intelligence, 2001,32.
  • 4AasK, Czado C, Frigessi A, Bakken H. Pair-copula Constructions ofMultiple DependencefJ].Insurance: Mathematics and Economics,2009, 44.
  • 5MinA, Czado C. Bayesian Model Selection for D-vine Pair-copulaConstructions^].Canadian Journal of Statistics, 2011, 39(2).
  • 6黄喜恩,程希駿.基于PairCopula-GARCH模型的多资产组合VaR.分析[J].中国科学院研究生学报,2010,27⑷.
  • 7AndressonJ. On the Normal Inverse Gaussian Stochastic VolatilityModel[J] Journal of Bussiness&Economic Statistics, 2001, 19.
  • 8DurbinJ, Koopman S. J. Monte Carlo Maximum likelihood Estima-tion for non-Gaussian State Space Models[J],Biometrics, 1997,84(3).
  • 9HarveyA. etal. Multivariate Stochastic Variance Models[J].Reviewof Economic Studies, 1994,61.
  • 10PattonA J. Estimation of Multivariate Models for Time Series of Pos-sibly Different lengths[J]. Journal of Applied Econometrics, 2006,21⑵.

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