Now showing items 1-6 of 6
Exchangeability of copulas
(Universität Ulm, 2016-07-08)
When studying the dependence structure of multivariate random vectors, the copula is crucial. A copula is called exchangeable, if it is invariant under any permutation of its arguments. In this thesis, a limit for the ...
Reduced basis methods for parabolic PDEs with parameter functions in high dimensions and applications in finance
(Universität Ulm, 2016-06-23)
The present thesis deals with variants of the space-time reduced basis method for parametrised parabolic partial differential equations. The reduced basis method is a well-known projection based model reduction technique ...
Geometric ergodicity of multivariate stochastic volatility models
(Universität Ulm, 2018-02-05)
Several multivariate continuous time stochastic volatility models are studied regarding the existence of and exponentially fast convergence to a unique stationary distribution, which is called geometric ergodicity. The ...
CARMA models with random coefficients and inference for renewal sampled Lévy driven moving average processes
(Universität Ulm, 2018-08-24)
This thesis covers miscellaneous topics in the field of time series analysis and stochastic processes and consists of four topics where the first two are connected by the appearance of random coefficients and the last two ...
Periodic ARMA, Ornstein-Uhlenbeck and CARMA processes as periodic time series
(Universität Ulm, 2018-08-03)
In this work we are interested in the existence of the periodic strictly and periodic weakly stationary solutions of the Periodic ARMA, Ornstein-Uhlenbeck and CARMA models.
Quasi-infinitely divisible distributions and quasi-Lévy measures
(Universität Ulm, 2017)