基于改进Copula函数的相关性分析
Correlation Analysis Based on Improved Copula Function
刘云 1刘熙娟1
作者信息
- 1. 塔里木大学信息工程学院,新疆 阿拉尔 843300
- 折叠
摘要
相关系数是度量变量间相关关系和方向的统计量,在金融量化分析和其他统计领域中占据重要地位.探讨了 一类对称二元Copula函数的构建问题,详细分析了多种相关性测度指标及其特性.通过将这些指标与Copula函数相结合,进一步提升了相关性的分析深度和广度.
Abstract
Correlation coefficient is a variable of correlation and direction between degree variables,and it plays an important role in statistics and financial quantitative analysis.This paper presents the construction of a class of symmetric binary Copula functions,discusses several correlation measurement indexes and their respective characteristics.
关键词
Copula函数/相关性/秩相关系数Key words
Copula function/correlation/rank correlation coefficient引用本文复制引用
出版年
2024
NETL
NSTL
万方数据