问题如下:
Which of the following statements best describes a Gaussian copula?
选项:
A.A major disadvantage of a Gaussian copula model is the transformation of the original marginal distributions in order to define the correlation matrix.
B.The mapping of each variable to the new distribution is done by defining a mathematical relationship between marginal and unknown distributions.
C.A Gaussian copula maps the marginal distribution of each variable to the standard normal distribution.
D.A Gaussian copula is seldom used in financial models because ordinal numbers are required.
解释:
C is correct. Observations of the unknown marginal distributions are mapped to the standard normal distribution on a percentile-to-percentile basis to create a Gaussian copula.
高斯copula不是为了最后求joint probability吗? 怎么map marginal probability了呢?