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Dependence Information in Parameterized Copulas

 

作者: Engin A. Sungur,  

 

期刊: Communications in Statistics - Simulation and Computation  （Taylor Available online 1990）
卷期: Volume 19, issue 4  

页码: 1339-1360

 

ISSN:0361-0918

 

年代: 1990

 

DOI:10.1080/03610919008812920

 

出版商: Marcel Dekker, Inc.

 

关键词: approximate copulas;copulas;dependence;dependence information;multivariate normal distribution

 

数据来源: Taylor

 

摘要:

Copulas are useful devices to explain the dependence structure between variables by eliminating the influence of marginals. In this paper we develop a formula for better understanding of the dependence mechanism hidden in copulas and discuss some approximations on copulas. We explore the copula of multivariate normal distribution in detail and try to reveal interesting features of the class.

 

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