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
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Abstract
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.
| Item Type: | Book Chapter |
|---|---|
| Uncontrolled Keywords: | Skew-t; Copula method; Peak Over Threshold (POT); rainfall data |
| Subjects: | Q Science > QA Mathematics |
| Faculty/Division: | Center for Mathematical Science |
| Depositing User: | Miss Amelia Binti Hasan |
| Date Deposited: | 06 Aug 2024 01:20 |
| Last Modified: | 06 Aug 2024 01:20 |
| URI: | http://umpir.ump.edu.my/id/eprint/42173 |
| Download Statistic: | View Download Statistics |
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