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基于Spearman ρ的时变Copula模型的模拟及应用 被引量：8

The Simulation and Application of Time-Varying Copula Model Based on Spearman ρ
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摘要 本文从Spearmanρ入手,利用Spearmanρ在非线性单调变换的情况下保持不变的特点,以及与条件期望预测机制存在的非线性的关系,提出建立时变Copula的模型的新方法;通过建立时变FGM-Copula模型的实例分析表明,这种构建Copula模型的方法较好捕捉了相依机制的时变性,预测了随机变量的趋势,具有一定的优越性。 In this paper, based on the Spearman p which remains invariability in non-linear monotonic transformation and has non-linear relationship with the prediction mechanism of conditional expectation, the new method of establishing the time-varying Copula model is proposed. Through the example of establishing the time-varying FGM-Copula model and the analysis, it is shown that this method of establishing a time-varying Copula model can capture the time-varying dependent mechanism, and predicted the trend of random variables. The method has certain superiority.
作者 王沁 王璐 何平
机构地区 西南交通大学数学学院 中国科学技术大学统计与金融系
出处 《数理统计与管理》 CSSCI 北大核心 2011年第1期76-84,共9页 Journal of Applied Statistics and Management
基金 2009教育部人文社会科学研究项目基金资助(编号09YJCZH104) 中央高校基本科研业务费专项资金资助(编号SWJTU09CX075 SWJTU09ZT37)
关键词 时变COPULA 条件期望预测机制 Spearman ρ回归函数 time-varying copula, the prediction mechanism of conditional expectation, spearman ρ, Copula regression functions
分类号 O211.3 [理学—概率论与数理统计] F224 [经济管理—国民经济]
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参考文献11

  • 1Patton A J. Modeling time-varying exchange rate dependence using the conditional copula [R]. Working Paper of Department of Economics, University of California. San Diego, 2001.
  • 2Patton A J. Estimation of copula models for time series of possibly different lengths [R]. Working Paper of Department of Economics, University of California, San Diego, 2001.
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  • 5Werner Hiirlimann. Hutchinson-Lai's conjecture for bivariate extreme value copulas [J]. Statistics & Probability Letters, 2003, 61(3): 191-198.
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  • 8王沁,王璐,何平.基于截断tau的copula模型选择及应用[J].数理统计与管理,2008,27(1):118-123. 被引量：8
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  • 10Nelsen R B. An introduction to copulas [M]. New York: Springer, 1998.

二级参考文献12

  • 1吴振翔,叶五一,缪柏其.基于Copula的外汇投资组合风险分析[J].中国管理科学,2004,12(4):1-5. 被引量：50
  • 2司继文,蒙坚玲,龚朴.国内外股票市场相关性的Copula分析[J].华中科技大学学报（自然科学版）,2005,33(1):114-116. 被引量：19
  • 3David A., Hennessy, Allocation, etc. The Use of Archimedean Copulas to Model Portfolio[J]. Mathematical Finance, 2002, 12(2): 143-146.
  • 4Oakes D., Wang A.. Copula Model Generated by Dabrowska's Association Measure[J]. Biometriks, 2003, 90: 478-481.
  • 5Evin G, Favre A. C., Genest C.. Comparison of Goodness-of-fit Tests adapted to Copulas[J]. Geophysical Research Abstracts, 2005, 7,(05786), 1607-1620.
  • 6David Oakes, Bivariate Survival Models induced by Frailties[J], Journal of the American Statistical Association,1999, 487-493.
  • 7Schweixer B., Sklar A.. Probabilistic Metric Space[M]. North-holland: New York, 1983.
  • 8Roger B'Neslen. An Introduction to Copulas[M]. Lectures Notes in Statisitcs 139, New York: Springer Verlag, 1999.
  • 9Genest C., Rivest L. P.. On the Multivariate Probability Integral Transformation[J], Sstatistics & Probability Letters, 2001, 53: 391-399.
  • 10Joe H.. Parametric Families of Multivariate Distributions with Given Margins[J], Journal Multivariate Anal, 1993, 46: 262-282.

共引文献7

同被引文献106

引证文献8

二级引证文献31

数理统计与管理
2011年 第1期

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