Open AccessVariable structure Copula model and its Comparison with static and time-varying Copula models
Author(s) -
Ling Zhou,
XiaoShu He
Publication year - 2021
Publication title -
iop conference series. materials science and engineering
Language(s) - English
Resource type - Journals
eISSN - 1757-899X
pISSN - 1757-8981
DOI - 10.1088/1757-899x/1043/5/052020
Subject(s) - copula (linguistics) , correlation , bayes' theorem , mathematics , correctness , computer science , econometrics , statistics , bayesian probability , algorithm , geometry
Copula model has been increasingly used in reliability modeling of correlation systems. In this paper, the static copula model, time-varying copula model and variable structure copula model are compared. Firstly, variable structure copula model is introduced. Secondly, the procedures of Bayes diagnosis method which is used to diagnose the variable structure points are introduced. Finally, the correctness of Bayes diagnosis method for finding variable structure points is verified by a simple numerical example. The comparison results illustrate that the staged correlation parameter estimated by variable structure Copula model is better than the constant correlation parameter estimated by static Copula model, and also it has a consistent trend with correlation parameter estimated by time-varying Copula model.