Copula (probability theory)

Copula (probability theory) (Redirected from Sklar's theorem) Jump to navigation Jump to search This article is about probability theory. Per altri usi, see Copula (disambiguazione).

In probability theory and statistics, a copula is a multivariate cumulative distribution function for which the marginal probability distribution of each variable is uniform on the interval [0, 1]. Copulas are used to describe/model the dependence (inter-correlation) between random variables.[1] Their name, introduced by applied mathematician Abe Sklar in 1959, comes from the Latin for "link" o "tie", similar but unrelated to grammatical copulas in linguistics. Copulas have been used widely in quantitative finance to model and minimize tail risk[2] and portfolio-optimization applications.[3] Sklar's theorem states that any multivariate joint distribution can be written in terms of univariate marginal distribution functions and a copula which describes the dependence structure between the variables.

Copulas are popular in high-dimensional statistical applications as they allow one to easily model and estimate the distribution of random vectors by estimating marginals and copulae separately. There are many parametric copula families available, which usually have parameters that control the strength of dependence. Some popular parametric copula models are outlined below.

Two-dimensional copulas are known in some other areas of mathematics under the name permutons and doubly-stochastic measures.

Contenuti 1 Mathematical definition 2 Definizione 3 Sklar's theorem 4 Stationarity condition 5 Fréchet–Hoeffding copula bounds 6 Families of copulas 6.1 Gaussian copula 6.2 Archimedean copulas 6.2.1 Most important Archimedean copulas 7 Expectation for copula models and Monte Carlo integration 8 Empirical copulas 9 Applicazioni 9.1 Quantitative finance 9.2 Civil engineering 9.3 Reliability engineering 9.4 Warranty data analysis 9.5 Turbulent combustion 9.6 Medicine 9.7 Geodesy 9.8 Hydrology research 9.9 Climate and weather research 9.10 Solar irradiance variability 9.11 Random vector generation 9.12 Ranking of electrical motors 9.13 Signal processing 10 Mathematical derivation of copula density function 10.1 List of copula density functions and applications 11 Guarda anche 12 Riferimenti 13 Ulteriori letture 14 External links Mathematical definition Consider a random vector {stile di visualizzazione (X_{1},X_{2},punti ,X_{d})} . Suppose its marginals are continuous, cioè. the marginal CDFs {stile di visualizzazione F_{io}(X)=Pr[X_{io}leq x]} are continuous functions. By applying the probability integral transform to each component, the random vector {stile di visualizzazione (U_{1},U_{2},punti ,U_{d})= sinistra(F_{1}(X_{1}),F_{2}(X_{2}),punti ,F_{d}(X_{d})Giusto)} has marginals that are uniformly distributed on the interval [0, 1].

The copula of {stile di visualizzazione (X_{1},X_{2},punti ,X_{d})} is defined as the joint cumulative distribution function of {stile di visualizzazione (U_{1},U_{2},punti ,U_{d})} : {stile di visualizzazione C(tu_{1},tu_{2},punti ,tu_{d})=Pr[U_{1}leq u_{1},U_{2}leq u_{2},punti ,U_{d}leq u_{d}].} The copula C contains all information on the dependence structure between the components of {stile di visualizzazione (X_{1},X_{2},punti ,X_{d})} whereas the marginal cumulative distribution functions {stile di visualizzazione F_{io}} contain all information on the marginal distributions of {stile di visualizzazione X_{io}} .

The reverse of these steps can be used to generate pseudo-random samples from general classes of multivariate probability distributions. Questo è, given a procedure to generate a sample {stile di visualizzazione (U_{1},U_{2},punti ,U_{d})} from the copula function, the required sample can be constructed as {stile di visualizzazione (X_{1},X_{2},punti ,X_{d})= sinistra(F_{1}^{-1}(U_{1}),F_{2}^{-1}(U_{2}),punti ,F_{d}^{-1}(U_{d})Giusto).} The inverses {stile di visualizzazione F_{io}^{-1}} are unproblematic almost surely, since the {stile di visualizzazione F_{io}} were assumed to be continuous. Inoltre, the above formula for the copula function can be rewritten as: {stile di visualizzazione C(tu_{1},tu_{2},punti ,tu_{d})=Pr[X_{1}leq F_{1}^{-1}(tu_{1}),X_{2}leq F_{2}^{-1}(tu_{2}),punti ,X_{d}leq F_{d}^{-1}(tu_{d})].} Definition In probabilistic terms, {stile di visualizzazione C:[0,1]^{d}freccia destra [0,1]} is a d-dimensional copula if C is a joint cumulative distribution function of a d-dimensional random vector on the unit cube {stile di visualizzazione [0,1]^{d}} with uniform marginals.[4] In analytic terms, {stile di visualizzazione C:[0,1]^{d}freccia destra [0,1]} is a d-dimensional copula if {stile di visualizzazione C(tu_{1},punti ,tu_{i-1},0,tu_{io+1},punti ,tu_{d})=0} , the copula is zero if any one of the arguments is zero, {stile di visualizzazione C(1,punti ,1,tu,1,punti ,1)= tu} , the copula is equal to u if one argument is u and all others 1, C is d-non-decreasing, cioè., for each hyperrectangle {displaystyle B=prod _{io=1}^{d}[X_{io},si_{io}]sottoseq [0,1]^{d}} the C-volume of B is non-negative: {displaystyle int _{B}matematica {d} C(tu)=somma _{mathbf {z} in prod_{io=1}^{d}{X_{io},si_{io}}}(-1)^{N(mathbf {z} )}C(mathbf {z} )geq 0,} dove il {stile di visualizzazione N(mathbf {z} )=#{K:z_{K}=x_{K}}} .

Per esempio, in the bivariate case, {stile di visualizzazione C:[0,1]volte [0,1]freccia destra [0,1]} is a bivariate copula if {stile di visualizzazione C(0,tu)=C(tu,0)=0} , {stile di visualizzazione C(1,tu)=C(tu,1)= tu} e {stile di visualizzazione C(tu_{2},v_{2})-C(tu_{2},v_{1})-C(tu_{1},v_{2})+C(tu_{1},v_{1})geq 0} per tutti {displaystyle 0leq u_{1}leq u_{2}leq 1} e {displaystyle 0leq v_{1}leq v_{2}leq 1} .

Sklar's theorem Density and contour plot of a Bivariate Gaussian Distribution Density and contour plot of two Normal marginals joint with a Gumbel copula Sklar's theorem, named after Abe Sklar, provides the theoretical foundation for the application of copulas.[5][6] Sklar's theorem states that every multivariate cumulative distribution function {stile di visualizzazione H(X_{1},punti ,X_{d})=Pr[X_{1}leq x_{1},punti ,X_{d}leq x_{d}]} of a random vector {stile di visualizzazione (X_{1},X_{2},punti ,X_{d})} can be expressed in terms of its marginals {stile di visualizzazione F_{io}(X_{io})=Pr[X_{io}leq x_{io}]} and a copula {stile di visualizzazione C} . Infatti: {stile di visualizzazione H(X_{1},punti ,X_{d})=Cleft(F_{1}(X_{1}),punti ,F_{d}(X_{d})Giusto).} In case that the multivariate distribution has a density {stile di visualizzazione h} , and if this is available, it holds further that {stile di visualizzazione h(X_{1},punti ,X_{d})=c(F_{1}(X_{1}),punti ,F_{d}(X_{d}))cdot f_{1}(X_{1})cdot dots cdot f_{d}(X_{d}),} dove {stile di visualizzazione c} is the density of the copula.

The theorem also states that, dato {stile di visualizzazione H} , the copula is unique on {nome dell'operatore dello stile di visualizzazione {Ran} (F_{1})times cdots times operatorname {Ran} (F_{d})} , which is the cartesian product of the ranges of the marginal cdf's. This implies that the copula is unique if the marginals {stile di visualizzazione F_{io}} are continuous.

È vero anche il contrario: given a copula {stile di visualizzazione C:[0,1]^{d}freccia destra [0,1]} and marginals {stile di visualizzazione F_{io}(X)} poi {displaystyle Cleft(F_{1}(X_{1}),punti ,F_{d}(X_{d})Giusto)} defines a d-dimensional cumulative distribution function with marginal distributions {stile di visualizzazione F_{io}(X)} .

Stationarity condition Copulas mainly work when time series are stationary[7] and continuous.[8] così, a very important pre-processing step is to check for the auto-correlation, trend and seasonality within time series.

When time series are auto-correlated, they may generate a non existence dependence between sets of variables and result in incorrect Copula dependence structure.[9] Fréchet–Hoeffding copula bounds Graphs of the bivariate Fréchet–Hoeffding copula limits and of the independence copula (in the middle).

The Fréchet–Hoeffding Theorem (after Maurice René Fréchet and Wassily Hoeffding[10]) states that for any Copula {stile di visualizzazione C:[0,1]^{d}freccia destra [0,1]} and any {stile di visualizzazione (tu_{1},punti ,tu_{d})in [0,1]^{d}} the following bounds hold: {stile di visualizzazione W.(tu_{1},punti ,tu_{d})leq C(tu_{1},punti ,tu_{d})leq M(tu_{1},punti ,tu_{d}).} The function W is called lower Fréchet–Hoeffding bound and is defined as {stile di visualizzazione W.(tu_{1},ldot ,tu_{d})=max left{1-d+sum limits _{io=1}^{d}{tu_{io}},,0Giusto}.} The function M is called upper Fréchet–Hoeffding bound and is defined as {stile di visualizzazione M(tu_{1},ldot ,tu_{d})=min{tu_{1},punti ,tu_{d}}.} The upper bound is sharp: M is always a copula, it corresponds to comonotone random variables.

The lower bound is point-wise sharp, in the sense that for fixed u, there is a copula {stile di visualizzazione {tilde {C}}} tale che {stile di visualizzazione {tilde {C}}(tu)=W(tu)} . Tuttavia, W is a copula only in two dimensions, in which case it corresponds to countermonotonic random variables.

In two dimensions, cioè. the bivariate case, the Fréchet–Hoeffding Theorem states {displaystyle max{u+v-1,,0}leq C(tu,v)leq min{tu,v}} . Families of copulas Several families of copulas have been described.

Gaussian copula Cumulative and density distribution of Gaussian copula with ρ = 0.4 The Gaussian copula is a distribution over the unit hypercube {stile di visualizzazione [0,1]^{d}} . It is constructed from a multivariate normal distribution over {displaystyle mathbb {R} ^{d}} by using the probability integral transform.

For a given correlation matrix {displaystyle Rin [-1,1]^{dtimes d}} , the Gaussian copula with parameter matrix {stile di visualizzazione R} can be written as {stile di visualizzazione C_{R}^{testo{Gauss}}(tu)=Phi _{R}sinistra(Phi^{-1}(tu_{1}),punti ,Phi^{-1}(tu_{d})Giusto),} dove {displaystyle Phi ^{-1}} is the inverse cumulative distribution function of a standard normal and {stile di visualizzazione Phi _{R}} is the joint cumulative distribution function of a multivariate normal distribution with mean vector zero and covariance matrix equal to the correlation matrix {stile di visualizzazione R} . While there is no simple analytical formula for the copula function, {stile di visualizzazione C_{R}^{testo{Gauss}}(tu)} , it can be upper or lower bounded, and approximated using numerical integration.[11][12] The density can be written as[13] {stile di visualizzazione c_{R}^{testo{Gauss}}(tu)={frac {1}{mq {il {R}}}}esp a sinistra(-{frac {1}{2}}{inizio{pmatrice}Phi^{-1}(tu_{1})\vdots \Phi ^{-1}(tu_{d})fine{pmatrice}}^{T}cdot a sinistra(R^{-1}-Va bene)cdot {inizio{pmatrice}Phi^{-1}(tu_{1})\vdots \Phi ^{-1}(tu_{d})fine{pmatrice}}Giusto),} dove {displaystyle mathbf {io} } is the identity matrix.

Archimedean copulas Archimedean copulas are an associative class of copulas. Most common Archimedean copulas admit an explicit formula, something not possible for instance for the Gaussian copula. In pratica, Archimedean copulas are popular because they allow modeling dependence in arbitrarily high dimensions with only one parameter, governing the strength of dependence.

A copula C is called Archimedean if it admits the representation[14] {stile di visualizzazione C(tu_{1},punti ,tu_{d};teta )=psi ^{[-1]}sinistra(psi (tu_{1};teta )+cdots +psi (tu_{d};teta );theta right)} dove {stile di visualizzazione psi !:[0,1]times Theta rightarrow [0,infty )} is a continuous, strictly decreasing and convex function such that {stile di visualizzazione psi (1;teta )=0} , {stile di visualizzazione theta } is a parameter within some parameter space {stile di visualizzazione Theta } , e {stile di visualizzazione psi } is the so-called generator function and {displaystyle psi ^{[-1]}} is its pseudo-inverse defined by {displaystyle psi ^{[-1]}(t;teta )= sinistra{{inizio{Vettore}{ll}psi ^{-1}(t;teta )&{mbox{Se }}0leq tleq psi (0;teta )\0&{mbox{Se }}psi (0;teta )leq tleq infty .end{Vettore}}right.} Inoltre, the above formula for C yields a copula for {displaystyle psi ^{-1}} se e solo se {displaystyle psi ^{-1}} is d-monotone on {stile di visualizzazione [0,infty )} .[15] Questo è, if it is {displaystyle d-2} times differentiable and the derivatives satisfy {stile di visualizzazione (-1)^{K}psi ^{-1,(K)}(t;teta )geq 0} per tutti {displaystyle tgeq 0} e {displaystyle k=0,1,dots ,d-2} e {stile di visualizzazione (-1)^{d-2}psi ^{-1,(d-2)}(t;teta )} is nonincreasing and convex.

Most important Archimedean copulas The following tables highlight the most prominent bivariate Archimedean copulas, with their corresponding generator. Not all of them are completely monotone, cioè. d-monotone for all {displaystyle din mathbb {N} } or d-monotone for certain {displaystyle theta in Theta } solo.

Table with the most important Archimedean copulas[14] Name of copula Bivariate copula {stile di visualizzazione ;C_{teta }(tu,v)} parameter {stile di visualizzazione ,teta } generator {stile di visualizzazione ,psi _{teta }(t)} generator inverse {stile di visualizzazione ,psi _{teta }^{-1}(t)} Ali–Mikhail–Haq[16] {stile di visualizzazione {frac {uv}{1-teta (1-tu)(1-v)}}} {displaystyle theta in [-1,1]} {displaystyle log !sinistra[{frac {1-teta (1-t)}{t}}Giusto]} {stile di visualizzazione {frac {1-teta }{esp(t)-teta }}} Clayton[17] {stile di visualizzazione a sinistra[max left{u^{-teta }+v^{-teta }-1;0Giusto}Giusto]^{-1/teta }} {displaystyle theta in [-1,infty )barra rovesciata {0}} {stile di visualizzazione {frac {1}{teta }},(t^{-teta }-1)} {stile di visualizzazione a sinistra(1+theta tright)^{-1/teta }} Franco {stile di visualizzazione -{frac {1}{teta }}tronco d'albero !sinistra[1+{frac {(esp(-theta u)-1)(esp(-theta v)-1)}{esp(-teta )-1}}Giusto]} {displaystyle theta in mathbb {R} barra rovesciata {0}} {textstyle -log !sinistra({frac {esp(-theta t)-1}{esp(-teta )-1}}Giusto)} {stile di visualizzazione -{frac {1}{teta }},tronco d'albero(1+esp(-t)(esp(-teta )-1))} Gumbel {textstyle exp !sinistra[-sinistra((-tronco d'albero(tu))^{teta }+(-tronco d'albero(v))^{teta }Giusto)^{1/teta }Giusto]} {displaystyle theta in [1,infty )} {stile di visualizzazione a sinistra(-tronco d'albero(t)Giusto)^{teta }} {displaystyle esp !sinistra(-t^{1/teta }Giusto)} Independence {textstyle uv} {displaystyle -log(t)} {displaystyle esp(-t)} Gio {stile di testo {1-sinistra[(1-tu)^{teta }+(1-v)^{teta }-(1-tu)^{teta }(1-v)^{teta }Giusto]^{1/teta }}} {displaystyle theta in [1,infty )} {displaystyle -log !sinistra(1-(1-t)^{teta }Giusto)} {displaystyle 1-left(1-esp(-t)Giusto)^{1/teta }} Expectation for copula models and Monte Carlo integration In statistical applications, many problems can be formulated in the following way. One is interested in the expectation of a response function {stile di visualizzazione g:mathbb {R} ^{d}rightarrow mathbb {R} } applied to some random vector {stile di visualizzazione (X_{1},punti ,X_{d})} .[18] If we denote the cdf of this random vector with {stile di visualizzazione H} , the quantity of interest can thus be written as {nome dell'operatore dello stile di visualizzazione {e} sinistra[g(X_{1},punti ,X_{d})Giusto]=int _{mathbb {R} ^{d}}g(X_{1},punti ,X_{d}),matematica {d} H(X_{1},punti ,X_{d}).} Se {stile di visualizzazione H} is given by a copula model, cioè., {stile di visualizzazione H(X_{1},punti ,X_{d})=C(F_{1}(X_{1}),punti ,F_{d}(X_{d}))} this expectation can be rewritten as {nome dell'operatore dello stile di visualizzazione {e} sinistra[g(X_{1},punti ,X_{d})Giusto]=int _{[0,1]^{d}}g(F_{1}^{-1}(tu_{1}),punti ,F_{d}^{-1}(tu_{d})),matematica {d} C(tu_{1},punti ,tu_{d}).} In case the copula C is absolutely continuous, cioè. C has a density c, this equation can be written as {nome dell'operatore dello stile di visualizzazione {e} sinistra[g(X_{1},punti ,X_{d})Giusto]=int _{[0,1]^{d}}g(F_{1}^{-1}(tu_{1}),punti ,F_{d}^{-1}(tu_{d}))cdot c(tu_{1},punti ,tu_{d}),du_{1}cdots mathrm {d} tu_{d},} and if each marginal distribution has the density {stile di visualizzazione f_{io}} it holds further that {nome dell'operatore dello stile di visualizzazione {e} sinistra[g(X_{1},punti ,X_{d})Giusto]=int _{mathbb {R} ^{d}}g(X_{1},punti x_{d})cdot c(F_{1}(X_{1}),punti ,F_{d}(X_{d}))cdot f_{1}(X_{1})cdots f_{d}(X_{d}),matematica {d} X_{1}cdots mathrm {d} X_{d}.} If copula and marginals are known (or if they have been estimated), this expectation can be approximated through the following Monte Carlo algorithm: Draw a sample {stile di visualizzazione (U_{1}^{K},punti ,U_{d}^{K})sim C;;(k=1,dots ,n)} of size n from the copula C By applying the inverse marginal cdf's, produce a sample of {stile di visualizzazione (X_{1},punti ,X_{d})} IMPOSTANDO {stile di visualizzazione (X_{1}^{K},punti ,X_{d}^{K})=(F_{1}^{-1}(U_{1}^{K}),punti ,F_{d}^{-1}(U_{d}^{K}))sim H;;(k=1,dots ,n)} Approximate {nome dell'operatore dello stile di visualizzazione {e} sinistra[g(X_{1},punti ,X_{d})Giusto]} by its empirical value: {nome dell'operatore dello stile di visualizzazione {e} sinistra[g(X_{1},punti ,X_{d})Giusto]ca {frac {1}{n}}somma _{k=1}^{n}g(X_{1}^{K},punti ,X_{d}^{K})} Empirical copulas When studying multivariate data, one might want to investigate the underlying copula. Suppose we have observations {stile di visualizzazione (X_{1}^{io},X_{2}^{io},punti ,X_{d}^{io}),,i=1,dots ,n} from a random vector {stile di visualizzazione (X_{1},X_{2},punti ,X_{d})} with continuous marginals. The corresponding “true” copula observations would be {stile di visualizzazione (U_{1}^{io},U_{2}^{io},punti ,U_{d}^{io})= sinistra(F_{1}(X_{1}^{io}),F_{2}(X_{2}^{io}),punti ,F_{d}(X_{d}^{io})Giusto),,i=1,dots ,n.} Tuttavia, the marginal distribution functions {stile di visualizzazione F_{io}} are usually not known. Perciò, one can construct pseudo copula observations by using the empirical distribution functions {stile di visualizzazione F_{K}^{n}(X)={frac {1}{n}}somma _{io=1}^{n}mathbf {1} (X_{K}^{io}leq x)} instead. Quindi, the pseudo copula observations are defined as {stile di visualizzazione ({tilde {u}}_{1}^{io},{tilde {u}}_{2}^{io},punti ,{tilde {u}}_{d}^{io})= sinistra(F_{1}^{n}(X_{1}^{io}),F_{2}^{n}(X_{2}^{io}),punti ,F_{d}^{n}(X_{d}^{io})Giusto),,i=1,dots ,n.} The corresponding empirical copula is then defined as {stile di visualizzazione C^{n}(tu_{1},punti ,tu_{d})={frac {1}{n}}somma _{io=1}^{n}mathbf {1} sinistra({tilde {u}}_{1}^{io}leq u_{1},punti ,{tilde {u}}_{d}^{io}leq u_{d}Giusto).} The components of the pseudo copula samples can also be written as {stile di visualizzazione {tilde {u}}_{K}^{io}=R_{K}^{io}/n} , dove {stile di visualizzazione R_{K}^{io}} is the rank of the observation {stile di visualizzazione X_{K}^{io}} : {stile di visualizzazione R_{K}^{io}=somma _{j=1}^{n}mathbf {1} (X_{K}^{j}leq X_{K}^{io})} Perciò, the empirical copula can be seen as the empirical distribution of the rank transformed data.

The sample version of Spearman's rho: [19] {displaystyle r={frac {12}{n^{2}-1}}somma _{io=1}^{n}somma _{io=1}^{n}sinistra[C^{n}sinistra({frac {io}{n}},{frac {j}{n}}Giusto)-{frac {io}{n}}cdot {frac {j}{n}}Giusto]} Applications Quantitative finance Examples of bivariate copulæ used in finance. Typical finance applications: Analyzing systemic risk in financial markets[20] Analyzing and pricing spread options, in particular in fixed income constant maturity swap spread options Analyzing and pricing volatility smile/skew of exotic baskets, per esempio. best/worst of Analyzing and pricing volatility smile/skew of less liquid FX[chiarimenti necessari] cross, which is effectively a basket: C = S1/S2 or C = S1·S2 Value-at-Risk forecasting and portfolio optimization to minimize tail risk for US and international equities[2] Forecasting equities returns for higher-moment portfolio optimization/full-scale optimization[20] Improving the estimates of a portfolio's expected return and variance-covariance matrix for input into sophisticated mean-variance optimization strategies[3] Statistical arbitrage strategies including pairs trading[21] In quantitative finance copulas are applied to risk management, to portfolio management and optimization, and to derivatives pricing.

For the former, copulas are used to perform stress-tests and robustness checks that are especially important during "downside/crisis/panic regimes" where extreme downside events may occur (per esempio., the global financial crisis of 2007–2008). The formula was also adapted for financial markets and was used to estimate the probability distribution of losses on pools of loans or bonds.

During a downside regime, a large number of investors who have held positions in riskier assets such as equities or real estate may seek refuge in 'safer' investments such as cash or bonds. This is also known as a flight-to-quality effect and investors tend to exit their positions in riskier assets in large numbers in a short period of time. Di conseguenza, during downside regimes, correlations across equities are greater on the downside as opposed to the upside and this may have disastrous effects on the economy.[22][23] Per esempio, anecdotally, we often read financial news headlines reporting the loss of hundreds of millions of dollars on the stock exchange in a single day; però, we rarely read reports of positive stock market gains of the same magnitude and in the same short time frame.

Copulas aid in analyzing the effects of downside regimes by allowing the modelling of the marginals and dependence structure of a multivariate probability model separately. Per esempio, consider the stock exchange as a market consisting of a large number of traders each operating with his/her own strategies to maximize profits. The individualistic behaviour of each trader can be described by modelling the marginals. Tuttavia, as all traders operate on the same exchange, each trader's actions have an interaction effect with other traders'. This interaction effect can be described by modelling the dependence structure. Perciò, copulas allow us to analyse the interaction effects which are of particular interest during downside regimes as investors tend to herd their trading behaviour and decisions. (See also agent-based computational economics, where price is treated as an emergent phenomenon, resulting from the interaction of the various market participants, or agents.) The users of the formula have been criticized for creating "evaluation cultures" that continued to use simple copulæ despite the simple versions being acknowledged as inadequate for that purpose.[24][25] così, previously, scalable copula models for large dimensions only allowed the modelling of elliptical dependence structures (cioè., Gaussian and Student-t copulas) that do not allow for correlation asymmetries where correlations differ on the upside or downside regimes. Tuttavia, the development of vine copulas[26] (also known as pair copulas) enables the flexible modelling of the dependence structure for portfolios of large dimensions.[27] The Clayton canonical vine copula allows for the occurrence of extreme downside events and has been successfully applied in portfolio optimization and risk management applications. The model is able to reduce the effects of extreme downside correlations and produces improved statistical and economic performance compared to scalable elliptical dependence copulas such as the Gaussian and Student-t copula.[28] Other models developed for risk management applications are panic copulas that are glued with market estimates of the marginal distributions to analyze the effects of panic regimes on the portfolio profit and loss distribution. Panic copulas are created by Monte Carlo simulation, mixed with a re-weighting of the probability of each scenario.[29] As regards derivatives pricing, dependence modelling with copula functions is widely used in applications of financial risk assessment and actuarial analysis – for example in the pricing of collateralized debt obligations (CDOs).[30] Some believe the methodology of applying the Gaussian copula to credit derivatives to be one of the reasons behind the global financial crisis of 2008–2009;[31][32][33] see David X. Li § CDOs and Gaussian copula.

Despite this perception, there are documented attempts within the financial industry, occurring before the crisis, to address the limitations of the Gaussian copula and of copula functions more generally, specifically the lack of dependence dynamics. The Gaussian copula is lacking as it only allows for an elliptical dependence structure, as dependence is only modeled using the variance-covariance matrix.[28] This methodology is limited such that it does not allow for dependence to evolve as the financial markets exhibit asymmetric dependence, whereby correlations across assets significantly increase during downturns compared to upturns. Perciò, modeling approaches using the Gaussian copula exhibit a poor representation of extreme events.[28][34] There have been attempts to propose models rectifying some of the copula limitations.[34][35][36] Additional to CDOs, Copulas have been applied to other asset classes as a flexible tool in analyzing multi-asset derivative products. The first such application outside credit was to use a copula to construct a basket implied volatility surface,[37] taking into account the volatility smile of basket components. Copulas have since gained popularity in pricing and risk management[38] of options on multi-assets in the presence of a volatility smile, in equity-, foreign exchange- and fixed income derivatives.

Civil engineering Recently, copula functions have been successfully applied to the database formulation for the reliability analysis of highway bridges, and to various multivariate simulation studies in civil engineering,[39] reliability of wind and earthquake engineering,[40] and mechanical & offshore engineering.[41] Researchers are also trying these functions in the field of transportation to understand the interaction between behaviors of individual drivers which, in totality, shapes traffic flow.

Reliability engineering Copulas are being used for reliability analysis of complex systems of machine components with competing failure modes. [42] Warranty data analysis Copulas are being used for warranty data analysis in which the tail dependence is analysed [43] Turbulent combustion Copulas are used in modelling turbulent partially premixed combustion, which is common in practical combustors. [44] [45] Medicine Copulæ have many applications in the area of medicine, Per esempio, Copulæ have been used in the field of magnetic resonance imaging (MRI), Per esempio, to segment images,[46] to fill a vacancy of graphical models in imaging genetics in a study on schizophrenia,[47] and to distinguish between normal and Alzheimer patients.[48] Copulæ have been in the area of brain research based on EEG signals, Per esempio, to detect drowsiness during daytime nap,[49] to track changes in instantaneous equivalent bandwidths (IEBWs),[50] to derive synchrony for early diagnosis of Alzheimer's disease,[51] to characterize dependence in oscillatory activity between EEG channels,[52] and to assess the reliability of using methods to capture dependence between pairs of EEG channels using their time-varying envelopes.[53] Copula functions have been successfully applied to the analysis of neuronal dependencies[54] and spike counts in neuroscience .[55] A copula model has been developed in the field of oncology, Per esempio, to jointly model genotypes, phenotypes, and pathways to reconstruct a cellular network to identify interactions between specific phenotype and multiple molecular features (per esempio. mutations and gene expression change). Bao et al.[56] used NCI60 cancer cell line data to identify several subsets of molecular features that jointly perform as the predictors of clinical phenotypes. The proposed copula may have an impact on biomedical research, ranging from cancer treatment to disease prevention. Copula has also been used to predict the histological diagnosis of colorectal lesions from colonoscopy images,[57] and to classify cancer subtypes.[58] Geodesy The combination of SSA and Copula-based methods have been applied for the first time as a novel stochastic tool for EOP prediction.[59][60] Hydrology research Copulas have been used in both theoretical and applied analyses of hydroclimatic data. Theoretical studies adopted the copula-based methodology for instance to gain a better understanding of the dependence structures of temperature and precipitation, in different parts of the world.[9][61][62] Applied studies adopted the copula-based methodology to examine e.g., agricultural droughts [63] or joint effects of temperature and precipitation extremes on vegetation growth.[64] Climate and weather research Copulas have been extensively used in climate- and weather-related research.[65][66] Solar irradiance variability Copulas have been used to estimate the solar irradiance variability in spatial networks and temporally for single locations. [67] [68] Random vector generation Large synthetic traces of vectors and stationary time series can be generated using empirical copula while preserving the entire dependence structure of small datasets.[69] Such empirical traces are useful in various simulation-based performance studies.[70] Ranking of electrical motors Copulas have been used for quality ranking in the manufacturing of electronically commutated motors.[71] Signal processing Copulas are important because they represent a dependence structure without using marginal distributions. Copulas have been widely used in the field of finance, but their use in signal processing is relatively new. Copulas have been employed in the field of wireless communication for classifying radar signals, change detection in remote sensing applications, and EEG signal processing in medicine. In this section, a short mathematical derivation to obtain copula density function followed by a table providing a list of copula density functions with the relevant signal processing applications are presented.

Mathematical derivation of copula density function For any two random variables X and Y, the continuous joint probability distribution function can be written as {stile di visualizzazione F_{XY}(X,y)=Pr {inizio{Bmatrice}Xleq {X},Yleq {y}fine{Bmatrice}},} dove {textstyle F_{X}(X)=Pr {inizio{Bmatrice}Xleq {X}fine{Bmatrice}}} e {textstyle F_{Y}(y)=Pr {inizio{Bmatrice}Yleq {y}fine{Bmatrice}}} are the marginal cumulative distribution functions of the random variables X and Y, rispettivamente.

then the copula distribution function {stile di visualizzazione C(tu,v)} can be defined using Sklar's theorem[72][73] come: {stile di visualizzazione F_{XY}(X,y)=C(F_{X}(X),F_{Y}(y))triangleq C(tu,v)} , dove {displaystyle u=F_{X}(X)} e {displaystyle v=F_{Y}(y)} are marginal distribution functions, {stile di visualizzazione F_{XY}(X,y)} joint and {stile di visualizzazione u,vin (0,1)} .

We start by using the relationship between joint probability density function (PDF) and joint cumulative distribution function (CDF) and its partial derivatives.

{stile di visualizzazione {inizio{allineare}{6}f_{XY}(X,y)={}&{parziale ^{2}F_{XY}(X,y) over partial x,parziale y}\vdots \f_{XY}(X,y)={}&{parziale ^{2}C(F_{X}(X),F_{Y}(y)) over partial x,parziale y}\vdots \f_{XY}(X,y)={}&{parziale ^{2}C(tu,v) over partial u,partial v}cdot {partial F_{X}(X) over partial x}cdot {partial F_{Y}(y) over partial y}\vdots \f_{XY}(X,y)={}&c(tu,v)f_{X}(X)f_{Y}(y)\vdots \{frac {f_{XY}(X,y)}{f_{X}(X)f_{Y}(y)}}={}&c(tu,v)fine{allineare}}} dove {stile di visualizzazione c(tu,v)} is the copula density function, {stile di visualizzazione f_{X}(X)} e {stile di visualizzazione f_{Y}(y)} are the marginal probability density functions of X and Y, rispettivamente. It is important to understand that there are four elements in this equation, and if any three elements are known, the fourth element can be calculated. Per esempio, it may be used, when joint probability density function between two random variables is known, the copula density function is known, and one of the two marginal functions are known, poi, the other marginal function can be calculated, or when the two marginal functions and the copula density function are known, then the joint probability density function between the two random variables can be calculated, or when the two marginal functions and the joint probability density function between the two random variables are known, then the copula density function can be calculated. List of copula density functions and applications Various bivariate copula density functions are important in the area of signal processing. {displaystyle u=F_{X}(X)} e {displaystyle v=F_{Y}(y)} are marginal distributions functions and {stile di visualizzazione f_{X}(X)} e {stile di visualizzazione f_{Y}(y)} are marginal density functions. Extension and generalization of copulas for statistical signal processing have been shown to construct new bivariate copulas for exponential, Weibull, and Rician distributions.[74] Zeng et al.[75] presented algorithms, simulation, optimal selection, and practical applications of these copulas in signal processing.

Copula density: c(tu, v) Use Gaussian {stile di visualizzazione {inizio{allineato}={}&{frac {1}{mq {1-ro ^{2}}}}esp a sinistra(-{frac {(un^{2}+b^{2})ro ^{2}-2abrho }{2(1-ro ^{2})}}Giusto)\&{testo{dove }}rho in (-1,1)\&{testo{dove }}a={mq {2}}nome operatore {erf} ^{-1}({2u-1})\&{testo{dove }}b={mq {2}}nome operatore {erf} ^{-1}({2v-1})\&{testo{dove }}nome operatore {erf} (z)={frac {2}{mq {pi }}}int limits _{0}^{z}esp(-t^{2}),dtend{allineato}}} supervised classification of synthetic aperture radar (SAR) images,[76] validating biometric authentication,[77] modeling stochastic dependence in large-scale integration of wind power,[78] unsupervised classification of radar signals[79] Exponential {stile di visualizzazione {inizio{allineato}={}&{frac {1}{1-rho }}esp a sinistra({frac {rho (ln(1-tu)+ln(1-v))}{1-rho }}Giusto)cdot I_{0}sinistra({frac {2{mq {rho ln(1-tu)ln(1-v)}}}{1-rho }}Giusto)\&{testo{dove }}x=F_{X}^{-1}(tu)=-ln(1-tu)/lambda \&{testo{dove }}y=F_{Y}^{-1}(v)=-ln(1-v)/mu end{allineato}}} queuing system with infinitely many servers[80] Rayleigh bivariate exponential, Rayleigh, and Weibull copulas have been proved to be equivalent[81][82][83] change detection from SAR images[84] Weibull bivariate exponential, Rayleigh, and Weibull copulas have been proved to be equivalent[81][82][83] digital communication over fading channels[85] Log-normal bivariate log-normal copula and Gaussian copula are equivalent[83][82] shadow fading along with multipath effect in wireless channel[86][87] Farlie–Gumbel–Morgenstern (FGM) {stile di visualizzazione {inizio{allineato}={}&1+theta (1-2tu)(1-2v)\&{testo{dove }}theta in [-1,1]fine{allineato}}} information processing of uncertainty in knowledge-based systems[88] Clayton {stile di visualizzazione {inizio{allineato}={}&(1+teta )(uv)^{(-1-teta )}(-1+u^{-teta }+v^{-teta })^{(-2-1/teta )}\&{testo{dove }}theta in (-1,infty ),theta neq 0end{allineato}}} location estimation of random signal source and hypothesis testing using heterogeneous data[89][90] Franco {stile di visualizzazione {inizio{allineato}={}&{frac {theta e^{teta (u+v)}(e^{teta }-1)}{(e^{teta }-e^{theta u}-e^{theta v}+e^{teta (u+v)})^{2}}}\&{testo{dove }}theta in (-infty ,+infty ),theta neq 0end{allineato}}} change detection in remote sensing applications[91] Student's t {stile di visualizzazione {inizio{allineato}={}&{frac {Gamma (0.5v)Gamma (0.5v+1)(1+(t_{v}^{-2}(tu)+t_{v}^{-2}(v)-2rho t_{v}^{-1}(tu)t_{v}^{-1}(v))/(v(1-ro ^{2})))^{-0.5(v+2)})}{{mq {1-ro ^{2}}}cdot Gamma (0.5(v+1))^{2}(1+t_{v}^{-2}(tu)/v)^{-0.5(v+1)}(1+t_{v}^{-2}(v)/v)^{-0.5(v+1)}}}\&{testo{dove }}rho in (-1,1)\&{testo{dove }}fi (z)={frac {1}{mq {2pi }}}int limits _{-infty }^{z}esp a sinistra({frac {-t^{2}}{2}}Giusto),dt\&{testo{dove }}t_{v}(xmid v)=int limits _{-infty }^{X}{frac {Gamma {(0.5(v+1))}}{{mq {vpi }}(Gamma {0.5v})(1+v^{-1}t^{2})^{0.5(v+1)}}}dt\&{testo{dove }}v={testo{degrees of freedom}}\&{testo{dove }}Gamma {testo{ is the Gamma function}}fine{allineato}}} supervised SAR image classification,[84] fusion of correlated sensor decisions[92] Nakagami-m Rician See also Coupling (probability) References ^ Thorsten Schmidt (2006) "Coping with Copulas", ^ Jump up to: a b Low, R.K.Y.; Alcock, J.; Faff, R.; Brailsford, T. 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Theory and Foundations, Springer International Publishing, vol. 853, pp. 244–252, doi:10.1007/978-3-319-91473-2_21, ISBN 978-3-319-91472-5 ^ Sundaresan, Ashok; Varshney, Pramod K. (2011). "Location Estimation of a Random Signal Source Based on Correlated Sensor Observations". IEEE Transactions on Signal Processing. 59 (2): 787–799. Bibcode:2011ITSP...59..787S. doi:10.1109/tsp.2010.2084084. ISSN 1053-587X. S2CID 5725233. ^ Iyengar, Satish G.; Varshney, Pramod K.; Damarla, Thyagaraju (2011). "A Parametric Copula-Based Framework for Hypothesis Testing Using Heterogeneous Data". IEEE Transactions on Signal Processing. 59 (5): 2308–2319. Bibcode:2011ITSP...59.2308I. doi:10.1109/tsp.2011.2105483. ISSN 1053-587X. S2CID 5549193. ^ Mercier, G.; Moser, G.; Serpico, S.B. (2008). "Conditional Copulas for Change Detection in Heterogeneous Remote Sensing Images". IEEE Transactions on Geoscience and Remote Sensing. 46 (5): 1428–1441. Bibcode:2008ITGRS..46.1428M. doi:10.1109/tgrs.2008.916476. ISSN 0196-2892. S2CID 12208493. ^ Sundaresan, Ashok; Varshney, Pramod K.; Rao, Nageswara S. V. (2011). "Copula-Based Fusion of Correlated Decisions". IEEE Transactions on Aerospace and Electronic Systems. 47 (1): 454–471. Bibcode:2011ITAES..47..454S. doi:10.1109/taes.2011.5705686. ISSN 0018-9251. S2CID 22562771. Further reading The standard reference for an introduction to copulas. Covers all fundamental aspects, summarizes the most popular copula classes, and provides proofs for the important theorems related to copulas Roger B. Nelsen (1999), "An Introduction to Copulas", Springer. ISBN 978-0-387-98623-4 A book covering current topics in mathematical research on copulas: Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, Tomasz Rychlik (Editors): (2010): "Copula Theory and Its Applications" Lecture Notes in Statistics, Springer. ISBN 978-3-642-12464-8 A reference for sampling applications and stochastic models related to copulas is Jan-Frederik Mai, Matthias Scherer (2012): Simulating Copulas (Stochastic Models, Sampling Algorithms and Applications). Scientifico mondiale. ISBN 978-1-84816-874-9 A paper covering the historic development of copula theory, by the person associated with the "invention" of copulas, Abe Sklar. Abe Sklar (1997): "Variabili casuali, distribution functions, and copulas – a personal look backward and forward" in Rüschendorf, l., Schweizer, B. und Taylor, M. (eds) Distributions With Fixed Marginals & Related Topics (Lecture Notes – Monograph Series Number 28). ISBN 978-0-940600-40-9 The standard reference for multivariate models and copula theory in the context of financial and insurance models Alexander J. McNeil, Rudiger Frey and Paul Embrechts (2005) "Quantitative Risk Management: Concepts, Techniques, and Tools", Princeton Series in Finance. ISBN 978-0-691-12255-7 link esterno "Copula", Enciclopedia della matematica, EMS Press, 2001 [1994] Copula Wiki: community portal for researchers with interest in copulas A collection of Copula simulation and estimation codes Copulas & Correlation using Excel Simulation Articles Chapter 1 of Jan-Frederik Mai, Matthias Scherer (2012) "Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications" hide vte Statistics OutlineIndex show Descriptive statistics show Data collection show Statistical inference show CorrelationRegression analysis hide Categorical / Multivariate / Time-series / Survival analysis Categorical Cohen's kappaContingency tableGraphical modelLog-linear modelMcNemar's testCochran-Mantel-Haenszel statistics Multivariate RegressionManovaPrincipal componentsCanonical correlationDiscriminant analysisCluster analysisClassificationStructural equation model Factor analysisMultivariate distributions Elliptical distributions Normal Time-series General DecompositionTrendStationaritySeasonal adjustmentExponential smoothingCointegrationStructural breakGranger causality Specific tests Dickey–FullerJohansenQ-statistic (Ljung–Box)Durbin–WatsonBreusch–Godfrey Time domain Autocorrelation (ACF) parziale (PACF)Cross-correlation (XCF)ARMA modelARIMA model (Box–Jenkins)Autoregressive conditional heteroskedasticity (ARCH)Vector autoregression (VAR) Frequency domain Spectral density estimationFourier analysisLeast-squares spectral analysisWaveletWhittle likelihood Survival Survival function Kaplan–Meier estimator (product limit)Proportional hazards modelsAccelerated failure time (AFT) modelFirst hitting time Hazard function Nelson–Aalen estimator Test Log-rank test show Applications Category Mathematics portalCommons WikiProject Authority control: National libraries IsraelUnited States Categories: Actuarial scienceMultivariate statisticsIndependence (probability theory)Systems of probability distributions

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