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LHY · 2020年06月21日

问一道题:NO.PZ2016070201000047

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?

1 个答案

品职答疑小助手雍 · 2020年06月21日

因为两个标准正态分布的joint probability 容易构建,所以要先把两个原始的分布通过marginal probability的方式map到标准正态上,再构建joint probability模型。