搜索结果: 1-3 共查到“统计学其他学科 Copulas”相关记录3条 . 查询时间(0.093 秒)
Vine Constructions of Levy Copulas
Levy Copula Vine Copula Pair Lévy Copula Construction Multivariate Lévy Processes
2012/9/19
Levy copulas are the most natural concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A ...
Estimators for Archimedean copulas in high dimensions: A comparison
Archimedean copulas parameter estimation Kendall’s tau Blomqvist’s beta minimum distance estimators (diagonal/simulated) maximum-likelihood estimation.
2012/9/19
The performance of known and new parametric estimators for Archimedean copulas is investigated, with special focus on large dimensions. In particular,method-of-moments-like estimators based on pairwis...
Multiplier bootstrap of tail copulas - with applications
copulas Multiplier bootstrap of tail applications
2011/3/18
In the problem of estimating the lower and upper tail copula we propose two bootstrap procedures for approximating the distribution of the corresponding empirical tail copulas. The first method ...