Exchangeability of copulas
| Author | Harder, Michael | dc.contributor.author |
| Date of accession | 2016-07-08T10:20:55Z | dc.date.accessioned |
| Available in OPARU since | 2016-07-08T10:20:55Z | dc.date.available |
| Year of creation | 2016 | dc.date.created |
| Date of first publication | 2016-07-08 | dc.date.issued |
| 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. | dc.description.abstract |
| Language | en | dc.language.iso |
| Publisher | Universität Ulm | dc.publisher |
| License | CC0 1.0 Universal | dc.rights |
| Link to license text | http://creativecommons.org/publicdomain/zero/1.0/ | dc.rights.uri |
| Keyword | Copula | dc.subject |
| Keyword | Exchangeability | dc.subject |
| Dewey Decimal Group | DDC 510 / Mathematics | dc.subject.ddc |
| LCSH | Symmetry | dc.subject.lcsh |
| LCSH | Copulas (Mathematical statistics) | dc.subject.lcsh |
| Title | Exchangeability of copulas | dc.title |
| Resource type | Dissertation | dc.type |
| Date of acceptance | 2016-06-07 | dcterms.dateAccepted |
| Referee | Stadtmüller, Ulrich | dc.contributor.referee |
| Referee | Stelzer, Robert | dc.contributor.referee |
| DOI | http://dx.doi.org/10.18725/OPARU-4034 | dc.identifier.doi |
| PPN | 864300638 | dc.identifier.ppn |
| URN | http://nbn-resolving.de/urn:nbn:de:bsz:289-oparu-4073-9 | dc.identifier.urn |
| GND | Austauschbarkeit | dc.subject.gnd |
| GND | Symmetrie | dc.subject.gnd |
| GND | Verteilungsfunktion | dc.subject.gnd |
| GND | Kopula <Mathematik> | dc.subject.gnd |
| Faculty | Fakultät für Mathematik und Wirtschaftswissenschaften | uulm.affiliationGeneral |
| Institution | Institut für Zahlentheorie und Wahrscheinlichkeitstheorie | uulm.affiliationSpecific |
| Institution | Institut für Finanzmathematik | uulm.affiliationSpecific |
| Shelfmark print version | W: W-H 14.773 | uulm.shelfmark |
| Grantor of degree | Fakultät für Mathematik und Wirtschaftswissenschaften | uulm.thesisGrantor |
| DCMI Type | Text | uulm.typeDCMI |
| Type | Erstveröffentlichung | uulm.veroeffentlichung |
| Category | Publikationen | uulm.category |
| University Bibliography | ja | uulm.unibibliographie |
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Except where otherwise noted, this item's license is described as CC0 1.0 Universal