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某个单点值给定的Copula最优界的不可交换性度量
NONEXCHANGEABLE DEGREES OF BEST-POSSIBLE BOUNDS FOR COPULAS SPECIFIED AT A SINGLE INTERIOR POINT
【摘要】 通过研究某个单点值给定的Copula(相关结构函数)的最佳上下界的不可交换性度量.构造了4个奇异的Copula,它们具有最大的不可交换性,揭示了最大不可交换Copula的结构特点和性质.定义了非径向对称和非联合对称意义下的随机变量的不可交换性,指出对于4个最大不可交换的Copula,3种不可交换性度量是相同的.另一方面,研究了在一般的LP距离定义下的不可交换性度量的计算公式,确定了其中的标准化系数kp=3p+1(p+1)(p+2)/4,特别地k1=(27)/2和k2=81的计算公式可以作为常用的不可交换性度量.
【Abstract】 The degrees of nonexchangeability about the best bounds of Copulas being specified at a single interior point are studied to construct four maximally nonexchangeable Copulas whose features and properties are studied as whell.Moreover this paper define non- radially and non-jointly symmetry about random variables and Copulas,and show that for the four Copulas the three nonexchangeable measures are equivelent.On the other hand,using LP distance theory we calculate another nonexchangeable degree formulate whose normal coefficient is kp=3p+1(p+1)(p+2)/4,in particular,the formulate with k1=(27)/2 or k2=81 may be commonly used.
【Key words】 Copulas; nonexchangeable random variables; correlation coefficient; bounds; distance;
- 【文献出处】 系统科学与数学 ,Journal of Systems Science and Mathematical Sciences , 编辑部邮箱 ,2008年07期
- 【分类号】O211.5
- 【被引频次】9
- 【下载频次】66