基于Ruschendorf方法构造新的Copula  

Construction of a New Bivariate Copula Based on Rüschendorf Method

作　　者：彭定忠[1] Peng Dingzhong(School of Mathematics,Hunan Institute of Science and Technology,Yueyang Hunan 414006,China)

机构地区：[1]湖南理工学院数学学院,湖南岳阳414006

出　　处：《衡阳师范学院学报》2021年第6期65-69,共5页Journal of Hengyang Normal University

摘　　要：Copula广泛应用于金融保险、地质统计学和水文学等领域。基于Rüschendorf方法构造新的Copula,并研究其相关性测度和尾部相关系数,结果表明新构造的Copula拥有更宽的相关系数范围,克服了FGM-Copula的不足。Copula is widely used in finance and insurance,geostatistics and hydrology,etc.In this paper,we construct a new Copula based on Rüschendorf method and study some dependence measures and tail dependence coefficient of the newly constructed Copula.The results show that the new copula has a wider range of correlation coefficient,which overcome the shortcomings of FGM Copula.

关 键 词：连接函数 Rüschendorf方法 Kendall’sτ Spearman’sρ 尾部相关系数 

分 类 号：O21[理学—概率论与数理统计]