Statistical procedures for composite hypotheses involving copulas

涉及联结函数的复合假设的统计程序

• 批准号: 327108-2009
• 负责人: Quessy, JeanFrançois
• 金额: $ 1.71万
• 依托单位: Université du Québec à Trois-Rivières
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2011
• 资助国家: 加拿大
• 起止时间: 2011-01-01 至 2012-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=481584
• 关键词: Statistical; procedures; composite; hypotheses; involving

A thorough understanding of many financial and climatic phenomena requires the simultaneous observation of many random variables. Recently, the theory of copulas has revolutionized the classical approach of multidimensional modelling by perfectly defining the nature of the dependence between random variables without relying on the individual stochastic behaviours. However, a satisfactory and rigorous application of copulas requires the use of statistical methods that are strongly justified, which remains to be developed in many contexts of applications.

要彻底了解许多金融和气候现象，需要同时观察许多随机变量。最近，Copula理论已经彻底改变了多维建模的经典方法，通过完美地定义随机变量之间的依赖性的性质，而不依赖于个人的随机行为。然而，一个令人满意的和严格的应用copula需要使用的统计方法，是强有力的理由，这仍然是在许多应用程序的背景下发展。