NO.PZ2020033001000047
问题如下:
Regarding Gaussian copula, which of the following statements is not correct?
选项:
A. In order to define the correlation matrix easier, Gaussian copula model transforms the original distributions.
B. To simplify statistical problems, Gaussian copula maps the marginal distribution of each variable to a standard normal distribution.
C. By defining the mathematical relationship between the marginal distribution and the unknown distribution, each variable can be mapped to the new distribution.
D. A Gaussian copula is among the most applied copulas in finance.
解释:
C is correct.
考点:copula function
解析:Gaussian copula map的是观测值的marginal distribution和标准正态分布,而不是unknown的分布。
谢谢老师,请问A怎么理解呢