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Weighted power mean copulas: theory and application

机译:加权平均均方差:理论与应用

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摘要

It is well known that the arithmetic mean of two possibly different copulas forms a copula, again. More generally, we focus on the weighted power mean (WPM) of two arbitrary copulas which is not necessary a copula again, as different counterexamples reveal. However, various conditions regarding the mean function and the underlying copula are given which guarantee that a proper copula (so-called WPM copula) results. In this case, we also derive dependence properties of WPM copulas and give some brief application to financial return series.
机译:众所周知,两个可能不同的系动词的算术平均值又形成了系动词。更笼统地说,我们将重点放在两个任意copula的加权平均功率(WPM)上,而不必再使用copula,因为不同的反例表明了这一点。但是,给出了有关平均功能和基础语系的各种条件,这些条件可确保生成适当的语系(所谓的WPM语系)。在这种情况下,我们还推导了WPM copulas的依赖属性,并简要介绍了财务收益序列。

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