开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

wawjbng · 2021年07月07日

请问A怎么理解

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
1 个答案

品职答疑小助手雍 · 2021年07月07日

嗨,从没放弃的小努力你好:


他其实就是进行了一次mapping,把实际的分布向一个理论分布(课上主要说的是正态分布)上mapping。然后通过两个正态分布进行 Gaussian copula建模。

所以说它(通过mapping)改变了原有的分布

----------------------------------------------
努力的时光都是限量版,加油!