/

Fat Tails and Extreme Events [15]

Go to: Summary | Previous | Next   
Bullet points include: Probability density function. Cumulative distribution function. Copula. Copula density. The copula involves rescaling (stretching/squashing) each axis so that the distribution is uniform between 0 and 1 along each axis. Allows models to exhibit non-zero tail dependency (i.e. ‘correlation’ in tail)

NAVIGATION LINKS
Contents | Prev | Next | Library


Desktop view | Switch to Mobile