基于Copula函数随机变量相依性指标的度量

The Measure Indexes of Relationship Dependence Based on Copula-Functions

对Copulas函数族作了系统总结,用Copula函数给出了随机变量间的相依和联合的一系列和谐度量指标:包括和谐、象限相依、似然比相依、秩相关系数Kendall′sτ、Spearman′sρ以及指标之间的相互关系基于Copula的表达式.

The paper summarises systematically on copula -functions, gives a series measure indexes of concordance of the dependence and as- sociation of zandom variable, including concordance, quadrant dependence, likelihood ratio dependence, rink correlation coefficient Kendall＇ sτ, Spearman＇ spand its relationship based on the expression of Copula.