MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN: 9781119256830
Author: Amos Gilat
Publisher: John Wiley & Sons Inc
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5. Consider the Clayton copula: C(u,v) = (u¯ª +v¯
α>0
-a
-
a for 0≤u≤1, 0≤v≤1,
a. Show that the marginal distributions for u and v are uniform.
b. Show that the pdf for this copula is always non-negative.
c. Find the lower tail dependence, defined as
λ₁ = lim Pr[X ≤ Fx' (u)|Y ≤ Fy'(u)] =
u→0+
+0<n
C(u,u)
и
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Transcribed Image Text:5. Consider the Clayton copula: C(u,v) = (u¯ª +v¯ α>0 -a - a for 0≤u≤1, 0≤v≤1, a. Show that the marginal distributions for u and v are uniform. b. Show that the pdf for this copula is always non-negative. c. Find the lower tail dependence, defined as λ₁ = lim Pr[X ≤ Fx' (u)|Y ≤ Fy'(u)] = u→0+ +0<n C(u,u) и
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