问题如下:
Suppose a risk manager creates a copula function, C, defined by the equation:
Which of the following statements does not accurately describe this copula function?
选项:
A.are standard normal univariate distributions.
B.Fn is the joint cumulative distribution function.
C.is the inverse function of Fn that is used in the mapping process.
D.is the correlation matrix structure of the joint cumulative function Fn
解释:
are marginal distributions that do not have well-known distribution properties.
老师,看到好多题都出现了这个玩意。。“correlation matrix”,这是个啥玩意,能简单描述下么,我记得Gaussian copula里面老师说只有个一个rho嘛。。总之啥意思。。不知道这个问题您能不能领会,麻烦了