摘要
介绍了当前常用的Copula函数的参数估计方法及最优Copula函数的选择方法,着重研究了一种基于贝叶斯理论的Copula函数的择优选择方法.最后对上海证券综合指数和深圳证券成分指数进行Copula函数择优选择,结果表明,得到的Copula较好地描述了其相依结构.
The method to estimate Copula parameter and the method to choose optimal Copula are introduced, especially the Bayesian method. The optimal Copula based on the Shanghai Stock Composite Index and Shenzhen Stock Component Index is obtained, which is good for the two stocks＇ dependence structure.
出处
《重庆工学院学报（自然科学版）》
2009年第5期155-160,共6页
Journal of Chongqing Institute of Technology
