کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
417267 681474 2008 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Linear B-spline copulas with applications to nonparametric estimation of copulas
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Linear B-spline copulas with applications to nonparametric estimation of copulas
چکیده انگلیسی

In this paper, we propose a method for constructing a new class of copulas. They are called linear B-spline copulas which are a good approximation of a given complicated copula by using finite numbers of values of this copula without the loss of some essential properties. Moreover, rigorous analysis shows that the empirical linear B-spline copulas are more effective than empirical copulas to estimate perfectly dependent copulas. For the cases of nonperfectly dependent copulas, simulations show that the empirical linear B-spline copulas also improve the empirical copulas to estimate the underlying copula structure. Furthermore, we compare the performance of parametric estimation of copulas based on the empirical copulas with that based on the empirical linear B-spline copulas by simulations. In most of the cases, the latter are better than the former.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 52, Issue 7, 15 March 2008, Pages 3806–3819
نویسندگان
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