Everything you always wanted to know about copula modeling but were afraid to ask
Everything you always wanted to know about copula modeling but were afraid to ask
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DOI：
10.1061/(asce)1084-0699(2007)12:4(347
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发表时间：
2007-07-01
影响因子：
2.4
通讯作者：
Favre, Anne-Catherine
中科院分区：
文献类型：
--
作者：
Genest, Christian;Favre, Anne-Catherine
本文介绍了基于秩法的Copula模型的推理。通过一个小的、虚构的数值例子，作者详细地展示了研究两个随机变量之间的相关性以及使用Copulas对其进行建模所涉及的各种步骤。提供了简单的图形工具和数值技术，用于选择合适的模型，估计其参数，并检查其拟合优度。然后介绍了该方法在水文数据中的更大、更现实的应用。
This paper presents an introduction to inference for copula models, based on rank methods. By working out in detail a small, fictitious numerical example, the writers exhibit the various steps involved in investigating the dependence between two random variables and in modeling it using copulas. Simple graphical tools and numerical techniques are presented for selecting an appropriate model, estimating its parameters, and checking its goodness-of-fit. A larger, realistic application of the methodology to hydrological data is then presented.