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Analysis of the copula correlation matrix for meta-elliptical distributions
Yue Zhao
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Oznake: computer science;machine learning
We study the copula correlation matrix $\Sigma$ for elliptical copulas. In this context, the correlations are connected to Kendall's tau through a sine function transformation. Hence, a natural estimate for $\Sigma$ is the plug-in estimator $\widehat\Sigma$ with Kendall's tau statistics. In this ta ...
Leto: 2013 Vir: videolectures.net
Št. zadetkov: 1
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