Why clayton and gumbel copulas: A symmetry-based explanation
In econometrics, many distributions are non-Gaussian. To describe dependence between non-Gaussian variables, it is usually not sufficient to provide their correlation: it is desirable to also know the corresponding copula. There are many different families of copulas; which family shall we use? In m...
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| Main Authors: | , , |
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| 格式: | Book Series |
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2018
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| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872827540&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/48326 |
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| 機構: | Chiang Mai University |