Exercise 8.9 Explain how you could generate observations from a Plackett copula for a given .

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Exercise 8.9 Explain how you could generate observations from a Plackett copula for a given τ.

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Statistical Methods For Financial Engineering

ISBN: 9781032477497

1st Edition

Authors: Bruno Remillard

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Question Posted: Oct 26, 2024 06:01 AM

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Exercise 8.9 Explain how you could generate observations from a Plackett copula for a given .
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Exercise 8.8 Suppose that for a sample of size n, we have = 0.3 .04 at the 95% level of confidence. If the underlying copula is the Frank, find a 95% confidence interval for .
Exercise 8.10 Suppose that for a sample of size n, we have (S) = 0.6 .03 at the 95% level of confidence. If the underlying copula is the Plackett, find a 95% confidence interval for .
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Exercise 8.9 Explain how you could generate observations from a Plackett copula for a given .

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Statistical Methods For Financial Engineering

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