| 关于下尾相依Copula的若干性质 |
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| 引用本文： | 胡黎霞.关于下尾相依Copula的若干性质[J].兰州大学学报(自然科学版),2008,44(5). |
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| 作者姓名： | 胡黎霞 |
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| 作者单位： | 兰州大学,数学与统计学院,甘肃,兰州,730000;兰州交通大学,数理与软件工程学院,甘肃,兰州,730070 |
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| 摘 要： | 下尾相依Copula(LTDC)刻划了随机变量之间的尾部相依结构.对于Archimedean Copula的LTDC,讨论了其相依性随尾部水平变化的动态特性,建立了和谐序在LTDC变换下封闭的充分条件,同时计算了LTDC的下尾相依系数.
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| 关 键 词： | 和谐序 下尾相依Copula |
Some properties of lower-tail dependence copula |
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| HU Li-xia.Some properties of lower-tail dependence copula[J].Journal of Lanzhou University(Natural Science),2008,44(5). |
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| Authors: | HU Li-xia |
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| Institution: | HU Li-xia School of Mathematics , Statistics,Lanzhou University,Lanzhou 730000,China School of Mathematics,Physics , Software Engineering,Lanzhou Jiaotong University,Lanzhou 730070,China |
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| Abstract: | Lower tail dependence Copula(LTDC)depicts dependence structure in tails of random variables. For Arehimedean Copula's LTDC,its dependence properties were discussed and some sufficient conditions for preserving the Concordance order under LTDC transformations were presented.And lower tail dependence coefficient was evaluated as well. |
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| Keywords: | Archimedean Copula |
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