函数名称

表达式

t Copula

C t ( u 1 , u 2 | θ ) = t k 1 ( u 1 ) t k 1 ( u 2 ) 1 2 π 1 θ 2 [ 1 + s 2 2 θ s t + t 2 k ( 1 θ 2 ) ] ( k + 2 ) / 2 d s d t

Gumbel

C G ( u 1 , u 2 | θ ) = exp { [ ( ln u 1 ) θ + ( ln u 2 ) θ ] 1 / θ }

Clayton

C G ( u 1 , u 2 | θ ) = max [ ( u 1 θ + u 2 θ ) 1 θ , 0 ]

Frank

C F ( u 1 , u 2 | θ ) = 1 θ ln [ 1 + ( e θ u 1 1 ) ( e θ u 2 1 ) e θ 1 ]

J90

C 90 ( u 1 , u 2 | θ ) = u 2 C J ( 1 u 1 , u 2 | θ ) ,其中

C J ( u 1 , u 2 | θ ) = u 2 { ( 1 u 1 ) θ + ( 1 u 2 ) θ [ ( 1 u 1 ) ( 1 u 2 ) ] } 1 / θ

BB7

C B B 7 ( u 1 , u 2 | θ , δ ) = 1 { [ 1 ( 1 u 1 ) θ ] δ + [ 1 ( 1 u 2 ) θ ] δ 1 } 1 / θ