一类多元copula和拟copula的构造

A Class of the Construction of Multivariate Copulas and Quasi-copulas

【目的】研究了具有共同对角面函数的一类多元copula和拟copula的构造。【方法】将已有文献中对角面的概念加以推广,然后定义了一种""运算,基于这种运算建立了构造多元copula和拟copula的方法。【结果】给出了一类具有共同对角面函数的多元copula和拟copula,以及这些copula的性质。【结论】为相关统计建模和金融分析提供了描述某种相依结构的框架。

[Purposes]In this paper,The construction of a class of multivariate copulas and quasi-copulas is investigated with the common diagonal section function.[Methods]The notion of diagonal section on the former literature is generalized,and an operation is put forward which is denoted by ＂＂.Then based on this operation,a method of the construction of multivariate copulas and quasi-copulas is studied.[Findings]A class of multivariate copulas and quasi-copulas with the common diagonal section function is given,and its properties is discussed.[Conclusions]These provide some dependence frame for statistical modeling and financial analysis.