首页> 外文会议>International Summer School on Aggregation Functions >Families of Perturbation Copulas Generalizing the FGM Family and Their Relations to Dependence Measures
【24h】

Families of Perturbation Copulas Generalizing the FGM Family and Their Relations to Dependence Measures

机译:扰动金融家庭将FGM家族概括为依赖措施的关系

获取原文

摘要

In this paper we provide an extension of special parametric class of perturbations of an arbitrary copula (given in [3]) that represent a partial generalization of the FGM family of copulas for parameters from the unit interval. However the FGM family is defined for parameters from the interval [-1,1]. We present a construction of perturbations of an arbitrary copula also for parameters from the interval [-1,0] so that together with the former family of perturbations of copulas we get a generalization of the FGM family for the whole interval [-1,1]. We also investigated the influence of the parameters of the introduced class of perturbations of copulas on several measures of dependence (Spearman's rho, Blomqvist's beta, Gini's gamma, Kendall's tau).
机译:在本文中,我们提供了从单位间隔的参数的FGM系列Copulas的FGM系列的部分泛化的特殊参数扰动的特殊参数扰动的延伸。但是,FGM系列是从间隔[-1,1]的参数定义的。我们还向从间隔[-1,0]中的参数展示了任意谱的扰动构建,以便与前者的共同组合的扰动系列一起获得FGM系列的整个间隔[-1,1 ]。我们还调查了在依赖的几种依赖措施(Spearman的Rho,Blomqvist的Beta,Gini的伽玛,肯德尔的Tau)的依赖措施的影响力的影响。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱:kefu@zhangqiaokeyan.com

京公网安备:11010802029741号 ICP备案号:京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有
  • 客服微信

  • 服务号