基于copula对角截面的尾部相关性度量及应用  

Tail Dependence Measuring and Its Application Based on Diagonal Section of Copula

作　　者：胡祥[1] 张连增 Han Yan;Liu Baoshuang;Zhang Yufen;Han Suqin;Wang Lu;Feng Yinchang(State Environmental Protection Key Laboratory of Urban Ambient Air Particulate Matter Pollution Prevention and Control,College of Environmental Science and Engineering,Nankai University,Tianjin 300350,China;Tianjin Institute of Meteorology,Tianjin 300074,China)

机构地区：[1]中南财经政法大学金融学院,湖北武汉430073 [2]南开大学金融学院,天津300071

出　　处：《南开大学学报（自然科学版）》2019年第6期84-91,98,共9页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：国家自然科学基金(71971216)

摘　　要：通过引入对角截面的概念,讨论对角截面与copula之间的关系,并估计以copula对角截面为基础的尾部集中函数.尾部集中函数可以用来刻画在有限区域内变量之间的尾部相关性.通过Monte Carlo模拟,分析尾部集中函数作为区分不同copula函数类的有效性.最后,通过具体实例来说明尾部集中函数在度量尾部相关性方面的优势.The definition and some related results about copulas with given diagonal section are considerd.In order to describe tail dependence at finite scale, tail concentration function and its estimation are introduced,which depends on the diagonal section of copula. A simulation study is presented to check whether the tail concentration function can distinguish among different families of copula. Finally, the advantages of tail concentration function for measuring the tail dependence are illustrated by an empirical example.

关 键 词：COPULA 对角截面 尾部集中函数 Monte Carlo模拟 

分 类 号：O212.1[理学—概率论与数理统计]