Gaussian copula of stable random vectors and application

Phuc HO DANG; Truc Giang VO THİ

doi:https://doi.org/10.15672/hujms.621919

Makale detayları

Gaussian copula of stable random vectors and application

Yazarlar:

Phuc HO DANG | Truc Giang VO THİ

Yayıncı:

Hacettepe University

Ana Başlıklar:

Analiz

Dergi:

Hacettepe Journal of Mathematics and Statistics 2020 Vol.49 Issue 2, pp.887-901

Belge Tipi:

Makale

Yayın Tarihi:

4/2020

Belge Dili:

İngilizce

Document ID (Org No.):

2000451209

Sıklık:

İki Aylık

eISSN:

2651-477X

pISSN:

2651-477X

DOI:

https://doi.org/10.15672/hujms.621919

Özet:

 

In this paper, we present a new method to investigate data of multivariate heavy-tailed distributions. We show that for any given number α∈(0;2]α∈(0;2]\alpha \in (0;2], each Gaussian copula is also the copula of an αα\alpha-stable random vector. Simultaneously, every random vector is αα\alpha-stable if its marginals are αα\alpha-stable and its copula is a Gaussian copula. The result is used to build up a formula representing density functions of αα\alpha-stable random vectors with Gaussian copula. Adopting a new tool, the paper points out that pairs of GPS signals recording latitude and longitude of a fixed point have two-dimensional stable distribution, and in the most of cases, vectors of daily returns in stock market data have multivariate stable distributions with Gaussian copulas.

Makale detayları

Gaussian copula of stable random vectors and application

Yazarlar: Phuc HO DANG | Truc Giang VO THİ

Yayıncı: Hacettepe University

Ana Başlıklar: Analiz

Dergi: Hacettepe Journal of Mathematics and Statistics 2020 Vol.49 Issue 2, pp.887-901

Belge Tipi: Makale

Yayın Tarihi: 4/2020

Belge Dili: İngilizce

Document ID (Org No.): 2000451209

Sıklık: İki Aylık

eISSN: 2651-477X

pISSN: 2651-477X

DOI: https://doi.org/10.15672/hujms.621919

Sayı

Yazarlar:

Phuc HO DANG | Truc Giang VO THİ

Yayıncı:

Hacettepe University

Ana Başlıklar:

Analiz

Dergi:

Hacettepe Journal of Mathematics and Statistics 2020 Vol.49 Issue 2, pp.887-901

Belge Tipi:

Makale

Yayın Tarihi:

4/2020

Belge Dili:

İngilizce

Document ID (Org No.):

2000451209

Sıklık:

İki Aylık

eISSN:

2651-477X

pISSN:

2651-477X

DOI:

https://doi.org/10.15672/hujms.621919