摘要
高维化和动态化是当前Copula理论研究和应用的两个重要方向.采用图形建模工具中"藤"的层叠结构,以二元动态Copula取代原有二元静态Copula作为"藤"的节点,将高维Copula建模中"藤"的方法与动态Copula相结合,构造了"动态藤Copula".实证表明,高维动态藤Copula较相应的高维静态藤Copula对数据的概率模型的似然率更高.
Multivariate Copula and Dynamic Copula are two important directions in the Copula theory and application. A graphical tool, vine, with cascading structure in the graphic modeling theory is introduced. And we take the bivariate conditional Copulas, instead of usual static Copulas, as the nodes of the vine, combine the multivariate copula and conditional copula, construct a multivariate dynamic copula based on vine structures, named multivariate dynamic vine copula. Empirical results demonstrate that, the multivariate dynamic copula gets higher likelihood than that of the multivariate static copula.
出处
《数学的实践与认识》
CSCD
北大核心
2009年第10期96-102,共7页
Mathematics in Practice and Theory
基金
国家自然科学基金(70671074)
