FGM Copula的另一种拓展  

Another Expansion of FGM Copula

作　　者：徐付霞[1] 董永权[1] 

机构地区：[1]唐山师范学院数学与信息科学系,河北唐山063000

出　　处：《应用数学》2011年第1期84-90,共7页Mathematica Applicata

基　　金：唐山师范学院博士基金项目(09A02);河北省教育厅自然科学基金项目(Z2010322)

摘　　要：研究形如C(u,v)=uv+ψ(v)u(1-u),ψ(v)为v的非多项式函数的三类广义FGM Copula,计算它们的线性相关系数r,和谐性度量Kendall'sτ和Spearman'sρ.结果显示其中的两类广义FGM Copula与FGM Copula的性质接近,但是其τ与ρ的取值范围在某种程度上比FGM Copula的大,所以应用范围更广,适应性更强.另一类的线性相关系数r为0,但是τ和ρ均不为零,说明和谐性度量能够描述变量间非线性的相关关系.This paper studies three class of generalized FGM Copulas： C（u,v） = uv ＋ ψ（v）u（1- u）, where ψ（v） is the nonpolynomial function for v ,calculate the linear eonrrelation coefficient r, concordance measures Kendall＇s r and Spearman＇s p. Two types of the Copulas have the similar properties to FGM Copula, but the value ranges of the r and p are larger in some ways than FGM Copula, so they have a broader range of applications and a stronger applicability in modeling. Another Copula with the linear correlation coefficient being 0, but the concordance measures r and p being not 0, shows that the concordance measures can describe the non-linear relationship between random variables.

关 键 词：FGM COPULA 线性相关系数 Kendall's τ Spearman'sp 

分 类 号：O212.5[理学—概率论与数理统计]