一类特殊多元极值Copula的性质  

Analysis on property of a class of special extreme-value Copulas

作　　者：董海燕[1] 梁冯珍[1] 

机构地区：[1]天津大学理学院数学系,天津300072

出　　处：《哈尔滨商业大学学报（自然科学版）》2015年第1期79-82,共4页Journal of Harbin University of Commerce：Natural Sciences Edition

摘　　要：针对一类构造得到的多元极值Copula,研究它的边界性质及尾部相关度量,并给出尾部相关度量的解析表达式.结果表明,若对参数加以约束,则其上尾相关系数可以表示成构成它的Copula的上尾相关系数的凸和.According to a class of constructed multivariate extreme-values Copula, the prop- erty of its boundary and the tail dependence measure was studied. The tail dependence parameter of extreme-value copula was also given. Under the condition that some parameters were confined, it showed that the upper tail dependence parameter of the constructed ex- treme-value Copula could be expressed as the covex combination of that of basic copulas.

关 键 词：极值Copula 尾部相关函数 尾部相关系数 

分 类 号：O212[理学—概率论与数理统计]