Construction and Applications for Two- Parameter Composite Perturbation of Copulas

Yawei Li; Fuxia Xu

doi:https://doi.org/10.14445/22315373/IJMTT-V66I8P502

International Journal of Mathematics Trends and Technology

Research Article | Open Access | Download PDF

Volume 66 | Issue 8 | Year 2020 | Article Id. IJMTT-V66I8P502 | DOI : https://doi.org/10.14445/22315373/IJMTT-V66I8P502

Construction and Applications for Two- Parameter Composite Perturbation of Copulas

Yawei Li, Fuxia Xu

Citation :

Yawei Li, Fuxia Xu, "Construction and Applications for Two- Parameter Composite Perturbation of Copulas," International Journal of Mathematics Trends and Technology (IJMTT), vol. 66, no. 8, pp. 6-15, 2020. Crossref, https://doi.org/10.14445/22315373/IJMTT-V66I8P502

Abstract

On the basis of the quadratic construction of copulas, the two-parameter composite perturbation of copulas is introduced, the range of its perturbation parameters is given, and the one-parameter perturbation of copulas is obtained under its special form. The new two-parameter composite perturbation of copulas contains the characteristics of the original copula and the one-parameter perturbation of copulas, which further widens the range of their measures of association and enhances the adaptability and accuracy of copula in describing the characteristics of different random vectors. Taking the correlation analysis of the maximum temperature in summer between Tianjin and Shanghai as an example, the six appropriate copulas to real data are obtained. By the method of the squared Euclidean distance, it can easily be found that the two-parameter composite perturbed copula is optimal for α = 0.51, β =1.

Keywords

copula,quadratic construction, two-parameter perturbation, one-parameter perturbation, correlation analysis, optimal.

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