问题如下:
Suppose a risk manager creates a copula function, C, defined by the equation:
Which of the following statements does not accurately describe this copula function?
选项:
A.are standard normal univariate distributions.
B.Fn is the joint cumulative distribution function.
C.is the inverse function of Fn that is used in the mapping process.
D.is the correlation matrix structure of the joint cumulative function Fn
解释:
are marginal distributions that do not have well-known distribution properties.
老师好,这道题的B选项,Fn求的是Joint Cumulative distribution, 但是在基础班视频 Correlation Risk Modeling and Management - Copula Functions视频,1.5倍速,大约第20:35分左右,李老师讲的是Mn是求Marginal distribution, 是李老师口误了吗?