边缘分布确定的多元Copula函数构建

从二维随机变量(TRV)的边缘分布函数(MDF)与其联合分布函数(JDF)的关系出发,研究如何构建多维随机变量(MRV)的联合分布Copula函数,并对构建的函数进行拟合与检验。首先,简单介绍Copula函数的定义、SKlar定理和常用的函数类型;然后将TRV变量的MDF函数与其JDF函数的关系扩展到MRV变量;最后研究了TRV变量的MDF函数已知时,构建其JDF函数的方法,同时将其扩展到MRV变量,提出了新的构建MRV变量的JDF函数的方法,对构建的函数提出了相应的拟合方法和参数估计方法。

Constructing Multiple Copulas Function under the Marginal Distribution Determined

Based on the relationship between the marginal distribution function（MDF） and the joint distribution function（JDF） of the two-dimensional random variable（TRV）, this paper concerns how to build the JDF of multidimensional random variables （MRV） copula function, and for the construction of function fitting and inspection. First, it introduces the definition of Copula function, the types of SKlar theorem and commonly used functions of the Copula Function. Then the relationship between the MDF function and JDF function of TRV variables is extended to MRV variables. Finally this paper studies the building JDF-function method under the MDF-function already of the TRV- variables, and the method extend to the MRV variables. It also puts forward the new method of constructing JDF function of MRV variables, and the corresponding methods of fitting and parameter estimation of the function constructed.