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Tail Dependence Analysis Based on Selective Sample Data

机译:基于选择性样本数据的尾巴相关性分析

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Tail dependence is the nature of the tail to the joint distribution of the two random variables. Be directed against analysis for the tail dependence, an idea is advanced to estimate the tail dependence coefficient in this paper through tail sample fitting Copula function. And the method of parameter estimation and fitting tests for the tail based on selective sample date and the corresponding dependence coefficient estimation are also discussed. Finally the tail dependence between the SHI and the SZI is given by the given method.
机译:尾巴依赖性是尾巴到两个随机变量的联合分布的性质。针对尾部相关性的分析,提出了一种通过尾部样本拟合Copula函数估计尾部相关性系数的思想。并讨论了基于选择性采样数据的尾巴参数估计和拟合测试方法以及相应的依存系数估计方法。最后,SHI和SZI之间的尾部相关性由给定方法给出。

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