Title :
Conditional Mean and Conditional Variance for Ali-Mikhail-Hap Copula
Author :
Deng, Xue ; Li, Rongjun ; Xiaolan Liu
Author_Institution :
Sch. of Bus. Adm., South China Univ. of Technol., Guangzhou
Abstract :
A copula is a function that links univariate marginals to their full multivariate distribution. This paper derives the conditional means and conditional variances for the well-known Ali-Mikhail-Hap (AMH) bivariate parametric copula whose marginal is standard uniform distribution U(0, 1) . In addition, this paper compares and expresses its corresponding figures of the conditional means and conditional variances with different parameter values.
Keywords :
statistical distributions; Ali-Mikhail-Hap bivariate parametric copula; conditional mean; conditional variance; multivariate distribution; univariate marginals; Distribution functions; Probability density function; Random variables; Statistical distributions;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location :
Dalian
Print_ISBN :
978-1-4244-2107-7
Electronic_ISBN :
978-1-4244-2108-4
DOI :
10.1109/WiCom.2008.2248
