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Hierarchical Types of Statistical Dependences
- Authors: Konovalov KA1, Schetinin E.Y.1
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Affiliations:
- MGTU Stankin
- Issue: No 3 (2009)
- Pages: 68-71
- Section: Articles
- URL: https://journals.rudn.ru/miph/article/view/8645
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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.
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About the authors
K A Konovalov
MGTU StankinКафедра прикладной математики; МГТУ «Станкин»; MGTU Stankin
Eu Yu Schetinin
MGTU StankinКафедра прикладной математики; МГТУ «Станкин»; MGTU Stankin
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