不同copula比较 D.docVIP

Copula 汇总表 Copula C(u, v; θ) c(u, v; θ) τ ρs θ Gaussian ① (-1,1) t ② ③ (-1,1) Gumbel [1,+() Clayton (0,+() Frank ②[1] [1][2] (-(,+()\{0} AMH [3][4] [-1,1) FGM [-1,1] Joe [1,+() A12 [1,+() A14 [1,+() Plackett （0,+()\{1} 注：①；②，，k = 1,2。 Understanding relationships using Copulas pp.10 Stochastic Frontier Models with Correlated Error Components pp.15 Bayesian copula selection pp.814 On the relationship between Spearman’s rho and Kendall’s tau for pairs of continuous random variables pp.2149 令H为具有边缘分布F、G的联合分布函数，那么存在一个Copula函数C，使得 如