提问人:HIteWIng 提问时间:11/9/2023 最后编辑:Dr. AleneziHIteWIng 更新时间:11/9/2023 访问量:15
如何使用合适的人工智能算法选择 Copula 函数?
How to select the Copula function using the appropriate artificial intelligence algorithm?
问:
我想使用人工智能算法来选择合适的 copula 函数,以基于初始样本数据构建 copula-的混合。我计划从以下六个替代 copula 函数中选择 2 到 3 个来形成混合 copula:Gaussian、t、Clayton、Gumbel、Frank 和 Joe copula。最初,我计划依靠 AIC 标准选择前 2/3 copula 函数,但效果并不好。那么,有没有好的AI算法可以实现这个想法,谢谢!
library(copula)
### Input three-dimension data :
x1 <- rnorm(n=1000,mean = 0.5,sd = 0.1)
x2 <- rlnorm(n = 1000,meanlog = 0.5,sdlog = 0.01)
x3 <- runif(n = 1000,min = 0.2,max = 0.8)
data<-matrix(c(x1,x2,x3),1000,3)
data01<-pobs(data)
###First,Calculate copula parameters and AIC values
### noramla copula
nor.cop <- fitCopula(normalCopula(dim = 3), data1)
param_nor<-nor.cop@estimate
AIC_nor <- (-2)*(nor.cop@loglik)+2
### t copula
t.cop <- fitCopula(tCopula(dim = 3), data1)
param_t<- t.cop@estimate
AIC_t <- (-2)*(t.cop@loglik)+4
###clayton copula
clay.cop <- fitCopula(claytonCopula(dim = 3), data1)
param_cla<- clay.cop@estimate
AIC_cla <- (-2)*(clay.cop@loglik)+2
# alpha = 12.0343
###gumbel copula
gum.cop <- fitCopula(gumbelCopula(dim = 3), data1)
param_gum <- gum.cop@estimate
AIC_gum <- (-2)*(gum.cop@loglik)+2
# alpha = 7.02198
###frank copula
fra.cop <- fitCopula(frankCopula(dim = 3), data1)
param_fra <- fra.cop@estimate
AIC_fra <- (-2)*(fra.cop@loglik)+2
###joe copula
joe<-fitCopula(joeCopula(dim = 3),data1)
param_joe<- joe@estimate
AIC_joe <- (-2)*(joe@loglik)+2
###is any AI algorithm to select copula to construct the mixture
###OUTPUT:Suitable 2-3 copula functions
答: 暂无答案
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