Copulas, Advanced Statistics

Assignment Help:

Invariant transformations to combine marginal probability functions to form multivariate distributions motivated by the need to enlarge the class of multivariate distributions beyond the multivariate normal distribution and its related functions such as the multi- variate Student's t-distribution and the Wishart distribution. An example is Frank's family of bivariate distributions. (The word 'copula' comes from Latin and means to connect or join.) Quintessentially copulas are measures of the dependent structure of the marginal distributions and they have been used to model correlated risks, joint default probabilities in credit portfolios and groups of individuals that are exposed to similar economic and physical environments. Also used in frailty models for surveying.


Related Discussions:- Copulas

Mauchly test, Mauchly test is a test which a variance-covariance matrix of...

Mauchly test is a test which a variance-covariance matrix of pair wise differences of responses in the set of longitudinal data is the scalar multiple of identity matrix, a proper

Explain labour force survey, Labour force survey : This survey carried out ...

Labour force survey : This survey carried out in the UK on the quarterly basis since the spring of year 1992. It covers 60 000 households and gives labour force and other detail

Non-identified response, Non-identified response is a term used to signify...

Non-identified response is a term used to signify censored observations in survival data, which are not independent of the endpoint of the interest. Such observations can happen f

Cohort study, Cohort study : An investigation in which the group of individ...

Cohort study : An investigation in which the group of individuals (or the cohort) is identi?ed and followed prospectively, possibly for many years, and their subsequent medical his

Bayesian network, Bayesian network : It is essentially an expert system in ...

Bayesian network : It is essentially an expert system in which the uncertainty is dealt with using the conditional probabilities and Bayes' Theorem. Formally such type of network c

Spreading function and scattering function, 1)  Consider an antenna with a ...

1)  Consider an antenna with a pattern: G(θ,φ) = sinn(θ/θ0) cos(θ/θ0)   where θ0 = Π/1.5 (a) What is the 3-dB bandwidth? (b) What is the 10-dB beam width? (c) What is t

Prepare a report using regression analysis, Paul Jordan has just been hired...

Paul Jordan has just been hired as a management analyst at Digital Cell Phone Inc. Digital Cell manufactures a broad line of phones for the consumer market. Paul's boss, John Smith

Weighted least squares, Weighted least squares  is the method of estimation...

Weighted least squares  is the method of estimation in which the estimates arise from minimizing the weighted sum of squares of the differences between response variable and its pr

Latin square, Latin square  is an experimental design targeted at removing ...

Latin square  is an experimental design targeted at removing from the experimental error the variation from two extraneous sources so that a more sensitive test of the treatment ef

F-test, A test for equality of the variances of the two populations having ...

A test for equality of the variances of the two populations having normal distributions, based on the ratio of the variances of the sample of observations taken from each. Most fre

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd