Skew-t Copula
The Copula method is introduced by Sklar (1959) to represent dependency among variables. Using the copula method, the univariate marginal can be linked to their full multivariate distribution. In other words, a copula is a multivariate distribution function for which the marginal probability distrib...
| Main Authors: | , , |
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| Format: | Book Chapter |
| Language: | English English English |
| Published: |
UTM Press
2023
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| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/42173/ http://umpir.ump.edu.my/id/eprint/42173/1/Cover%20-%20Copula%20modelling%20and%20its%20application.pdf http://umpir.ump.edu.my/id/eprint/42173/2/Intro_Skew-t%20Copula.pdf http://umpir.ump.edu.my/id/eprint/42173/3/Skew-t%20Copula.pdf |
| _version_ | 1848826539772215296 |
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| author | Roslinazairimah, Zakaria Noor Fadhilah, Ahmad Radi Siti Rohani, Mohd Nor |
| author_facet | Roslinazairimah, Zakaria Noor Fadhilah, Ahmad Radi Siti Rohani, Mohd Nor |
| author_sort | Roslinazairimah, Zakaria |
| building | UMP Institutional Repository |
| collection | Online Access |
| description | The Copula method is introduced by Sklar (1959) to represent dependency among variables. Using the copula method, the univariate marginal can be linked to their full multivariate distribution. In other words, a copula is a multivariate distribution function for which the marginal probability distribution of each variable is uniform on the interval . A multivariate distribution describes the probabilities for a group of continuous random variables. Hence, a copula is flexible in handling the dependency among the multiple variables where it generates a general structure and can link some of the variables or the properties together using a joint probability function. |
| first_indexed | 2025-11-15T03:46:26Z |
| format | Book Chapter |
| id | ump-42173 |
| institution | Universiti Malaysia Pahang |
| institution_category | Local University |
| language | English English English |
| last_indexed | 2025-11-15T03:46:26Z |
| publishDate | 2023 |
| publisher | UTM Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | ump-421732024-08-06T01:20:13Z http://umpir.ump.edu.my/id/eprint/42173/ Skew-t Copula Roslinazairimah, Zakaria Noor Fadhilah, Ahmad Radi Siti Rohani, Mohd Nor QA Mathematics The Copula method is introduced by Sklar (1959) to represent dependency among variables. Using the copula method, the univariate marginal can be linked to their full multivariate distribution. In other words, a copula is a multivariate distribution function for which the marginal probability distribution of each variable is uniform on the interval . A multivariate distribution describes the probabilities for a group of continuous random variables. Hence, a copula is flexible in handling the dependency among the multiple variables where it generates a general structure and can link some of the variables or the properties together using a joint probability function. UTM Press 2023 Book Chapter PeerReviewed pdf en http://umpir.ump.edu.my/id/eprint/42173/1/Cover%20-%20Copula%20modelling%20and%20its%20application.pdf pdf en http://umpir.ump.edu.my/id/eprint/42173/2/Intro_Skew-t%20Copula.pdf pdf en http://umpir.ump.edu.my/id/eprint/42173/3/Skew-t%20Copula.pdf Roslinazairimah, Zakaria and Noor Fadhilah, Ahmad Radi and Siti Rohani, Mohd Nor (2023) Skew-t Copula. In: Copula modelling and its application. UTM Press, Johor, Malaysia, pp. 153-172. ISBN 978-983-52-1962-7 |
| spellingShingle | QA Mathematics Roslinazairimah, Zakaria Noor Fadhilah, Ahmad Radi Siti Rohani, Mohd Nor Skew-t Copula |
| title | Skew-t Copula |
| title_full | Skew-t Copula |
| title_fullStr | Skew-t Copula |
| title_full_unstemmed | Skew-t Copula |
| title_short | Skew-t Copula |
| title_sort | skew-t copula |
| topic | QA Mathematics |
| url | http://umpir.ump.edu.my/id/eprint/42173/ http://umpir.ump.edu.my/id/eprint/42173/1/Cover%20-%20Copula%20modelling%20and%20its%20application.pdf http://umpir.ump.edu.my/id/eprint/42173/2/Intro_Skew-t%20Copula.pdf http://umpir.ump.edu.my/id/eprint/42173/3/Skew-t%20Copula.pdf |