b***k
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iambear (我是熊) 于 (Wed Jan 7 12:58:54 2009) 提到:
在normal和t copula中,哪些参数需要估计? 除了dof和corr, correlation为何不能用
sample的correlation呢?
在gumbel,clayton和frank copula中,有个alpha值,这个值是给定的还是怎么的哪来的?
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try2009 (try) 于 (Thu Jan 8 02:21:50 2009) 提到:
Hi, all the parameters are needed to estimated in copulas;
the alpha control the degree of dependence, for example, for Clayton, the
kendal's tau = alpha/alpha+2, something like this |
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