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 |
Bibliography | uulm | uulm.bibliographie |