DMCA
ФУНКЦИЯ КОПУЛЫ, КАК СТРУКТУРА ЗАВИСИМОСТИ COPULA FUNCTION AS A DEPENDENCE STRUCTURE
BibTeX
@MISC{Novosyolov_функциякопулы,,
author = {Arcady Novosyolov},
title = {ФУНКЦИЯ КОПУЛЫ, КАК СТРУКТУРА ЗАВИСИМОСТИ COPULA FUNCTION AS A DEPENDENCE STRUCTURE},
year = {}
}
Share
 |
 |
 |
 |
||
OpenURL
Abstract
Correlation structure of a multidimensional probability distribution captures only a small fraction of information on components dependence. To overcome the lack of information copula functions were intensively used during recent decades. The present paper gives an overview of copula functions as descriptors of dependence structure, presents some general classes of copula functions, and provides algorithms for using copula functions in decisionmaking under risk. Special attention is paid to discrete marginals case, which has not been addressed much in the literature before.
