Archimedean copulas with applications to estimation

被引：0
|
作者：
Furmanczyk, Konrad [1 ]
机构：
[1] Warsaw Univ Life Sci SGGW, Dept Appl Math, Ul Nowoursynowska 159, PL-02776 Warsaw, Poland
来源：
STATISTICAL METHODS AND APPLICATIONS | 2016年 / 25卷 / 02期
关键词：
Order statistics; Archimedean copulas; Confidence interval for VaR;
D O I：
10.1007/s10260-015-0326-7
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to estimation for sums of data from Archimedean copulas.
引用
收藏
页码：269 / 283
页数：15
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