基于copula对角截面的尾部相关性度量及应用

Tail Dependence Measuring and Its Application Based on Diagonal Section of Copula

通过引入对角截面的概念,讨论对角截面与copula之间的关系,并估计以copula对角截面为基础的尾部集中函数.尾部集中函数可以用来刻画在有限区域内变量之间的尾部相关性.通过Monte Carlo模拟,分析尾部集中函数作为区分不同copula函数类的有效性.最后,通过具体实例来说明尾部集中函数在度量尾部相关性方面的优势.

The definition and some related results about copulas with given diagonal section are considerd.In order to describe tail dependence at finite scale, tail concentration function and its estimation are introduced,which depends on the diagonal section of copula. A simulation study is presented to check whether the tail concentration function can distinguish among different families of copula. Finally, the advantages of tail concentration function for measuring the tail dependence are illustrated by an empirical example.