Copulæ were introduced by Sklar in 1959 (Sklar, Publ Inst Stat Univ Paris 8:229–231,1959). In a statistical model they capture the dependence structure of the random variables involved, whatever the distribution functions of the single random variables. They also allow the construction of families of bivariate or multivariate distributions.

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Copulas

  • Carlo Sempi

摘要

Copulæ were introduced by Sklar in 1959 (Sklar, Publ Inst Stat Univ Paris 8:229–231,1959). In a statistical model they capture the dependence structure of the random variables involved, whatever the distribution functions of the single random variables. They also allow the construction of families of bivariate or multivariate distributions.