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Roseline · 2020年06月04日

问一道题:NO.PZ2016070201000046

问题如下:

Suppose a risk manager creates a copula function, C, defined by the equation:

C[G1(u1),...,Gn(un)]=Fn[F11(G1(u1)),...,Fn1(Gn(un));ρF]C{\lbrack G_1{(u_1)},...,G_n{(u_n)}\rbrack}=F_n{\lbrack F_1^{-1}{(G_1{(u_1)})},...,F_n^{-1}{(G_n{(u_n)})};\rho_F\rbrack}

Which of the following statements does not accurately describe this copula function?

选项:

A.

Gi(ui)G_i{(u_i)}are standard normal univariate distributions.

B.

Fn is the joint cumulative distribution function.

C.

F11F_1^{-1} is the inverse function of Fn that is used in the mapping process.

D.

ρF\rho_Fis the correlation matrix structure of the joint cumulative function Fn

解释:

 Gi(ui)G_i{(u_i)}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?


1 个答案
已采纳答案

小刘_品职助教 · 2020年06月05日

同学你好,

感谢你的指正,老师确实口误了~Fn求的是Joint Cumulative distribution