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Nonparametric inference on Levy measures and copulas
Copula Levy copula Levy measure Levy process nonparametric statistics Pareto Levy copula weak convergence
2012/5/25
In this paper nonparametric methods to assess the multivariate L\'evy measure are introduced. Starting from high-frequency observations of a L\'evy process X, we construct estimators for its tail inte...
Shuffles of copulas and a new measure of dependence
copulas shuffles of Min measure-preserving, Sobolev norm
2012/4/18
Using a characterization of Mutual Complete Dependence copulas, we show that, with respect to the Sobolev norm, the MCD copulas can be approximated arbitrarily closed by shuffles of Min. This result i...