【摘要】 针对一类构造得到的多元极值Copula,研究它的边界性质及尾部相关度量,并给出尾部相关度量的解析表达式.结果表明,若对参数加以约束,则其上尾相关系数可以表示成构成它的Copula的上尾相关系数的凸和.更多还原

【Abstract】 According to a class of constructed multivariate extreme-values Copula,the property of its boundary and the tail dependence measure was studied. The tail dependence parameter of extreme-value copula was also given. Under the condition that some parameters were confined,it showed that the upper tail dependence parameter of the constructed extreme-value Copula could be expressed as the covex combination of that of basic copulas.更多还原