Exchangeability of copulas

Erstveröffentlichung
2016-07-08Authors
Harder, Michael
Referee
Stadtmüller, UlrichStelzer, Robert
Dissertation
Faculties
Fakultät für Mathematik und WirtschaftswissenschaftenInstitutions
Institut für Zahlentheorie und WahrscheinlichkeitstheorieInstitut 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
Metadata
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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
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