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	Copula function's concentration set and its concentrated partition
	Li, Lujun ; Wu, Yijun ; Yang, Jingping
	2014
关键词	Copula function Local correlation structure Concentration set Concentration measure CONTINUOUS BIVARIATE DENSITIES TERM STRUCTURE ASSOCIATION DEPENDENCE CURVES YIELDS
英文摘要	The research on the local correlation structure of copula function is an attractive topic. This paper investigates bi-variate copula function's local correlation structure by defining its concentration set. The concentration set of a copula function is defined in [0, 1](2) with restrained Lebesgue measure such that the samples of the copula fall in the set with the largest probability. The method for finding the concentration set is provided and the properties of the concentration set are discussed. Based on the concentration set, a concentrated partition of [0, 1](2) for the copula function is introduced, and one measure for quantifying copula function's local correlation is defined by applying our concentrated partition. An empirical study is provided to support our idea of proposing the concentration set.; http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000342547400003&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701 ; Mathematical & Computational Biology; Mathematics, Interdisciplinary Applications; SCI(E); 0; ARTICLE; lujun.li@pku.edu.cn; wuyijun00@gmail.com; yangjp@math.pku.edu.cn; 3; 319-329; 7
语种	英语
出处	SCI
出版者	statistics and its interface
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/390305]
专题	数学科学学院
推荐引用方式 GB/T 7714	Li, Lujun,Wu, Yijun,Yang, Jingping. Copula function's concentration set and its concentrated partition. 2014-01-01.

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