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Nonparametric universal copula modeling
Applied Stochastic Models in Business and Industry ( IF 1.4 ) Pub Date : 2020-01-01 , DOI: 10.1002/asmb.2503
Subhadeep Mukhopadhyay 1 , Emanuel Parzen 2
Affiliation  

To handle the ubiquitous problem of "dependence learning," copulas are quickly becoming a pervasive tool across a wide range of data-driven disciplines encompassing neuroscience, finance, econometrics, genomics, social science, machine learning, healthcare and many more. Copula (or connection) functions were invented in 1959 by Abe Sklar in response to a query of Maurice Frechet. After 60 years, where do we stand now? This article provides a history of the key developments and offers a unified perspective.

中文翻译:

非参数通用 copula 建模

为了处理无处不在的“依赖学习”问题,copula 正迅速成为广泛的数据驱动学科的普遍工具,包括神经科学、金融、计量经济学、基因组学、社会科学、机器学习、医疗保健等等。Copula(或连接)函数是在 1959 年由 Abe Sklar 为响应 Maurice Frechet 的询问而发明的。60年后,我们现在站在什么位置?本文提供了关键发展的历史,并提供了一个统一的视角。
更新日期:2020-01-01
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