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一类扭曲的高斯共存系数：理论与应用

IF 2.7 4区 管理学 Q2 MANAGEMENT
Journal of the Operational Research Society Pub Date : 2024-01-27 DOI:10.1080/01605682.2024.2305646
Hui Shao, Zhe George Zhang
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引用次数: 0

摘要

本研究引入了一种新的 copula 类别，称为扭曲 GAB copula（以下简称为 dGAB copula），作为高斯 copula 的替代品。
本文章由计算机程序翻译，如有差异，请以英文原文为准。
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A class of distorted Gaussian copulas: theories and applications
This study introduces a novel copula class, referred to as the distorted GAB copula (hereafter, dGAB copula), as an alternative to the Gaussian copula, which has shown limitations in capturing tail...
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来源期刊
Journal of the Operational Research Society
Journal of the Operational Research Society 管理科学-运筹学与管理科学
CiteScore
6.80
自引率
13.90%
发文量
144
审稿时长
7.3 months
期刊介绍： JORS is an official journal of the Operational Research Society and publishes original research papers which cover the theory, practice, history or methodology of OR.
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