A Method of Improving Copula Fited to Data
Qingzhu Yao · Systems Engineering - Theory & Practice · 2004
The conceptions of dependence structure, copula, coefficients of rank dependence including Spearman ρ and Kendall τ and coefficient of tail dependence η are presented. The relations between copula and three dependence coefficients and algorithm for calculating the estimations of these coefficients also are shown in this paper. Moreover, we introduce a transformation of copula and permit to fit the dependence coefficients in a better way. In the last, as examples concentrating on studying dependence of fluctuation associated to the data of intra-daily close index on the Shanghai and Shenzhen stock market are given.