New copula modesl for survival and ordered data
| Project/Area Number |
24530227
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Yokohama National University |
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Principal Investigator |
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
Fiscal Year 2014: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2013: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2012: ¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
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| Keywords | copula / 柔軟性 / Value at Risk / Expected Shortfall / Gaussian copula / 裾依存性 / 生存分析 / 状態空間モデル / 非線形モデル / 粒子フィルター / 競合リスクモデル / 仮説検定 / モンテカルロ実験 |
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| Outline of Final Research Achievements |
We propose a new parametric copula that has more variability of asymmetry and tail dependence than conventional copulas. Then we can analyze survival analysis, credit ratings , Value at Risks, and Expected shortfall by a single family of copula, without being bothered with the choice of appropriate copulas.
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Report
(4 results)
Research Products
(3 results)
