摘要
给出Archimedean Copula函数中参数的一种新的估计方法。通过计算机模拟,把此方法与Genest和Rivest的非参数法进行了比较,得出新方法能更有效的估计Archimedean Copula函数中的参数。最后用新方法和Genest和Rivest的非参数法对国内的上证A股指数和上证B股指数进行了实证分析,分析结果表明新方法更有效。
A new parameter estimation of Archimedean Copula was proposed. To illustrate the advantage of new parameter estimation,with it is compared nonparametric method of Genest ＆ Rivest. At last, the proposed method and the nonparametric method of Genest ＆ Rivest are applied to Shanghai Stock Market. Results indicate that the new estimation is reasonable.
出处
《科学技术与工程》
2009年第3期637-640,共4页
Science Technology and Engineering
基金
浙江省科技厅新苗人才计划项目的资助
