乘积阿基米德Copula

Multiplicative Archimedean Copula.

在乘法模式下,对阿基米德Copula进行了推广,提出了乘积阿基米德Copula.通过构造两类特殊的乘积阿基米德Copula,举出了若干乘积阿基米德Copula例子,并分析了关于尾部相依性、对称性等方面的性质.最后,在探讨阿基米德Copula和乘积阿基米德Copula的关系中,提出几个值得进一步讨论的问题.

Based on the multiplicative model,a wide class of bivariate Copula named as multiplicative Archimedean Copula was constituted,which generalizes the known family of Archimedean Copula.By constituting two new class of multiplicative Archimedean Copula,several interesting examples were constituted,and several properties concerning tail dependence,symmetry were depicted.By investigating the relationship between the multiplicative Archimedean Copula and the classical Archimedean Copula,some difficult problems worthy of discussion were put forward.