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摘要翻译：
本文提出了一类新的Copula，它刻画了所有两次连续可微Copula的集合。我们证明了我们提出的新copula族是一个新的广义copula族，它不仅包括非对称copula族，而且还包括现有文献中所有光滑copula族。本文介绍了Spearman的rho和Kendall的tau关于我们新的非对称Fourier Copula的概念。此外，为了优化Spearman的rho和相应的Kendall的Tau,还讨论了一种近似方法。
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英文标题：
《Characterization of Differentiable Copulas》
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作者：
Saikat Mukherjee, Farhad Jafari, Jong-Min Kim
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最新提交年份：
2012
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分类信息：
一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
This paper proposes a new class of copulas which characterize the set of all twice continuously differentiable copulas. We show that our proposed new class of copulas is a new generalized copula family that include not only asymmetric copulas but also all smooth copula families available in the current literature. Spearman's rho and Kendall's tau for our new Fourier copulas which are asymmetric are introduced. Furthermore, an approximation method is discussed in order to optimize Spearman's rho and the corresponding Kendall's tau.
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PDF链接：
https://arxiv.org/pdf/1210.2953
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