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首页> 外文期刊>International Journal of Statistics and Applications >On Two Random Variables and Archimedean Copulas
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On Two Random Variables and Archimedean Copulas

机译：关于两个随机变量和阿基米德科普拉斯

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The study focused on the likelihood of a pair of random variables having either an Archimedean copula or an Elliptical copula. The study involved simulating several pairs of random variables and the bicopselect () function in R was used to select an appropriate bivariate copula family for simulated pairs of random variables. The corresponding parameter estimates were obtained by maximum likelihood estimation. The method compared AICs of the various bivariate copulas under consideration. In all, about forty (40) bivariate copulas were considered ranging from one parameter models to two parameter models, three parameter models and in some cases rotations of some of these models. Fifty (50) different pairs of random variables were simulated for sample sizes 30, 300, 1000, 10000, 100000 and 1000000. For sample size thirty (30), 47 pairs had their copulas being Archimedean, for sample size 300, 47 had their copulas being Archimedean, for sample sizes 1000, 10000, 100000 and 1000000, 49, 44, 47 and 46 pairs respectively had their copulas being Archimedean. The results showed that between the Archimedean and Elliptical copulas, the Archimedean copulas were the most likely to fit the simulated pairs of random variables.
机译：该研究集中于一对随机变量具有阿基米德系数或椭圆系数的可能性。该研究涉及模拟几对随机变量，R中的bicopselect（）函数用于为模拟的随机变量对选择合适的双变量copula族。通过最大似然估计获得相应的参数估计。该方法比较了所考虑的各种双变量copula的AIC。总共考虑了大约四十（40）个双变量系脉，范围从一个参数模型到两个参数模型，三个参数模型，在某些情况下还包括其中一些模型的旋转。模拟了五十（50）对不同的随机变量对，样本量分别为30、300、1000、10000、100000和1000000。对于样本量三十（30），有47对样本集为阿基米德，样本量为300、47的样本集为阿基米德copula是Archimedean，样本大小分别为1000、10000、100000和1000000的49、44、47和46对分别为copulas是Archimedean。结果表明，在阿基米德系和椭圆系之间，阿基米德系系最有可能拟合模拟的随机变量对。

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