DEPENDENCE INFORMATION IN PARAMETERIZED COPULAS

被引：6

作者：

SUNGUR, EA ^{[1
]}

机构：

[1] UNIV MINNESOTA,DIV SCI & MATH,MORRIS,MN 56267

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 1990年 / 19卷 / 04期

关键词：

APPROXIMATE COPULAS; COPULAS; DEPENDENCE; DEPENDENCE INFORMATION; MULTIVARIATE NORMAL DISTRIBUTION;

D O I：

10.1080/03610919008812920

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Copulas are useful devices to explain the dependence structure between variables by eliminating the influence of marginals. In this paper we develop a formula for better understanding of the dependence mechanism hidden in copulas and discuss some approximations on copulas. We explore the copula of multivariate normal distribution in detail and try to reveal interesting features of the class.

引用

页码：1339 / 1360

页数：22

共 16 条

[1]

BARNETT V, 1980, COMMUN STAT THEORY, V9, P435

[2]

COOK RD, 1981, J ROY STAT SOC B MET, V43, P210

[3]

Frechet M., 1951, ANN U LYON, V9, P53

[4] ARCHIMEDEAN COPULAS AND FAMILIES OF BIDIMENSIONAL LAWS FOR WHICH THE MARGINALS ARE GIVEN [J].