• English
    • Deutsch
  • English 
    • English
    • Deutsch
  • Login
View Item 
  •   Home
  • Universität Ulm
  • Publikationen
  • View Item
  •   Home
  • Universität Ulm
  • Publikationen
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Exchangeability of copulas

Thumbnail
DissHarder160621.pdf (2.867Mb)
Erstveröffentlichung
2016-07-08
Authors
Harder, Michael
Referee
Stadtmüller, Ulrich
Stelzer, Robert
Dissertation


Faculties
Fakultät für Mathematik und Wirtschaftswissenschaften
Institutions
Institut für Zahlentheorie und Wahrscheinlichkeitstheorie
Institut für Finanzmathematik
Abstract
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 absolute distance between a copula and a version of itself with permuted arguments is derived. Furthermore, nonparametric test procedures for testing the hypothesis of exchangeability of a given sample of multivariate data are discussed as well as their asymptotic behavior.
Date created
2016
Subject headings
[GND]: Austauschbarkeit | Symmetrie | Verteilungsfunktion | Kopula <Mathematik>
[LCSH]: Symmetry | Copulas (Mathematical statistics)
[Free subject headings]: Copula | Exchangeability
[DDC subject group]: DDC 510 / Mathematics
License
CC0 1.0 Universal
http://creativecommons.org/publicdomain/zero/1.0/

Metadata
Show full item record

DOI & citation

Please use this identifier to cite or link to this item: http://dx.doi.org/10.18725/OPARU-4034

Harder, Michael (2016): Exchangeability of copulas. Open Access Repositorium der Universität Ulm und Technischen Hochschule Ulm. Dissertation. http://dx.doi.org/10.18725/OPARU-4034
Citation formatter >



Policy | kiz service OPARU | Contact Us
Impressum | Privacy statement
 

 

Advanced Search

Browse

All of OPARUCommunities & CollectionsPersonsInstitutionsPublication typesUlm SerialsDewey Decimal ClassesEU projects UlmDFG projects UlmOther projects Ulm

My Account

LoginRegister

Statistics

View Usage Statistics

Policy | kiz service OPARU | Contact Us
Impressum | Privacy statement