基于改进Copula函数的相关性分析  

Correlation Analysis Based on Improved Copula Function

作　　者：刘云[1] 刘熙娟[1] LIU Yun;LIU Xi-juan(College of Information Engineering,Tarim University,Alar 843300,China)

机构地区：[1]塔里木大学信息工程学院,新疆阿拉尔843300

出　　处：《数学的实践与认识》2024年第10期93-100,共8页Mathematics in Practice and Theory

摘　　要：相关系数是度量变量间相关关系和方向的统计量,在金融量化分析和其他统计领域中占据重要地位.探讨了一类对称二元Copula函数的构建问题,详细分析了多种相关性测度指标及其特性.通过将这些指标与Copula函数相结合,进一步提升了相关性的分析深度和广度.Correlation coefficient is a variable of correlation and direction between degree variables,and it plays an important role in statistics and financial quantitative analysis.This paper presents the construction of a class of symmetric binary Copula functions,discusses several correlation measurement indexes and their respective characteristics.

关 键 词：COPULA函数 相关性 秩相关系数 

分 类 号：O174[理学—数学]