Hierarchical Types of Statistical Dependences

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Abstract


We offer an approach to modeling multi-dimensional structures of statistical dependencies based on the specification of hierarchies of conditional two-dimensional copulae. Numerical algorithms for the simulation of hierarchical structures and evaluating copula parameters of those hierarchies were developed.

K A Konovalov

MGTU Stankin

Кафедра прикладной математики; МГТУ «Станкин»; MGTU Stankin

Eu Yu Schetinin

MGTU Stankin

Кафедра прикладной математики; МГТУ «Станкин»; MGTU Stankin

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Copyright (c) 2009 Коновалов К.А., Щетинин Е.Ю.

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