Show simple item record

AuthorHering, Christiandc.contributor.author
Date of accession2016-03-15T06:23:11Zdc.date.accessioned
Available in OPARU since2016-03-15T06:23:11Zdc.date.available
Year of creation2011dc.date.created
AbstractWhenever multivariate data has to be modelled, a copula approach naturally comes into play. As a distribution function on the multivariate unit cube with standard uniform margins a copula may be used to characterize the dependence structure of a random vector. This dissertation deals with three particular classes of copulas. These are the classes of exchangeable Archimedean, nested Archimedean and extensible Marshall-Olkin copulas. Goodness-of-fit tests and parameter estimation techniques for exchangeable Archimedean copulas are presented. These are based on an easy transformation originally used for sampling purposes and are hence tailor-made for large dimensional problems often encountered in practice. Strong consistency of the suggested estimators is proven and large-scale simulation studies investigate their finite sample behaviour. Moreover, a two step parameter estimation procedure for nested Archimedean copulas is suggested and weak consistency is proven under relatively mild conditions. As before, a simulation study is conducted to compare the suggested estimator to other, well-known approaches. In addition, a new probabilistic model for nested Archimedean copulas is given and used for sampling purposes. Finally, an estimation approach for extensible Marshall-Olkin copulas is presented. The strategy of the suggested approach is to match an empirical quantity with its theoretical counterpart. Therefore, no density of the underlying copula is needed having the advantage that the estimation procedure may be applied in arbitrary dimensions. In fact, the resulting estimator even improves if the dimension becomes larger.dc.description.abstract
Languageendc.language.iso
PublisherUniversität Ulmdc.publisher
LicenseStandard (ohne Print-On-Demand)dc.rights
Link to license texthttps://oparu.uni-ulm.de/xmlui/license_opod_v1dc.rights.uri
KeywordArchimedean copuladc.subject
KeywordLarge dimensiondc.subject
KeywordMarshall-Olkin copuladc.subject
KeywordMinimum distance estimationdc.subject
Dewey Decimal GroupDDC 510 / Mathematicsdc.subject.ddc
LCSHGoodness-of-fit testsdc.subject.lcsh
LCSHParameter estimationdc.subject.lcsh
TitleEstimation techniques and goodness-of-fit tests for certain copula classes in large dimensionsdc.title
Resource typeDissertationdc.type
DOIhttp://dx.doi.org/10.18725/OPARU-1800dc.identifier.doi
PPN661894002dc.identifier.ppn
URNhttp://nbn-resolving.de/urn:nbn:de:bsz:289-vts-76052dc.identifier.urn
GNDKopula <Mathematik>dc.subject.gnd
GNDParameterschätzungdc.subject.gnd
FacultyFakultät für Mathematik und Wirtschaftswissenschaftenuulm.affiliationGeneral
Date of activation2011-05-09T10:33:21Zuulm.freischaltungVTS
Peer reviewneinuulm.peerReview
Shelfmark print versionZ: J-H 14.181; N: J-H 9.892uulm.shelfmark
DCMI TypeTextuulm.typeDCMI
VTS-ID7605uulm.vtsID
CategoryPublikationenuulm.category
University Bibliographyjauulm.unibibliographie


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record