Copulas and stochastic processes:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Aachen
Shaker
2003
|
| Series: | Berichte aus der Mathematik
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Zugl.: Aachen, Techn. Hochsch., Diss., 2003 |
| Physical Description: | VI, 110 S. graph. Darst. : 21 cm |
| ISBN: | 3832212787 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV017080418 | ||
| 003 | DE-604 | ||
| 005 | 20030908 | ||
| 007 | t | ||
| 008 | 030415s2003 gw d||| m||| 00||| eng d | ||
| 016 | 7 | |a 967207711 |2 DE-101 | |
| 020 | |a 3832212787 |9 3-8322-1278-7 | ||
| 035 | |a (OCoLC)55148422 | ||
| 035 | |a (DE-599)BVBBV017080418 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c DE | ||
| 049 | |a DE-91 | ||
| 100 | 1 | |a Schmitz, Volker |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Copulas and stochastic processes |c Volker Schmitz |
| 264 | 1 | |a Aachen |b Shaker |c 2003 | |
| 300 | |a VI, 110 S. |b graph. Darst. : 21 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Berichte aus der Mathematik | |
| 500 | |a Zugl.: Aachen, Techn. Hochsch., Diss., 2003 | ||
| 650 | 0 | 7 | |a Stochastischer Prozess |0 (DE-588)4057630-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kopula |g Mathematik |0 (DE-588)4529954-7 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Kopula |g Mathematik |0 (DE-588)4529954-7 |D s |
| 689 | 0 | 1 | |a Stochastischer Prozess |0 (DE-588)4057630-9 |D s |
| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010304653&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-010304653 | |
Record in the Search Index
| _version_ | 1808044892555837440 |
|---|---|
| adam_text |
CONTENTS
1
INTRODUCTION
1
2
COPULAS
AND
THEIR
PROPERTIES
5
2.1
BASIC
PROPERTIES
.
5
2.2
THE
ROLE
OF
PARTIAL
DERIVATIVES
.
16
2.3
ARCHIMEDEAN
COPULAS
.
22
2.4 SURVIVAL
COPULA
AND
SYMMETRY
CONCEPTS
.
25
2.4.1
SYMMETRY
CONCEPTS
.
26
2.4.2
SURVIVAL
COPULA
.
28
3
DEPENDENCE
MEASURES
33
3.1
COMONOTONICITY
.
33
3.2
CONCORDANCE
.
33
3.3
KENDALL
'
S
R
.
34
3.4
SPEARMAN
'
S
P
.
35
3.5
TAIL
DEPENDENCIES
.
36
3.6
QUADRANT
DEPENDENCE
AND
POSITIVE
LIKELIHOOD
RATIO
DEPENDENCE
.
39
4
TWO
EXAMPLES:
ANALYSIS
OF
SPATIAL
DEPENDENCE
BY
USING
COPULAS
41
4.1
THE
MIN-MAX
COPULA
.
41
4.2
THE
COPULA
OF
BROWNIAN
MOTION
AND
ITS
SUPREMUM
.
51
5
STOCHASTIC
PROCESSES
AND
COPULAS
53
5.1
STOCHASTIC
PROCESSES
.
53
5.2
GENERAL
PROPERTIES
.
56
5.2.1
STRICT
STATIONARITY
.
58
5.2.2
EQUIVALENCE
OF
STOCHASTIC
PROCESSES
.
58
5.2.3
SYMMETRIC
PROCESSES
.
60
VI
CONTENTS
5.3
CONTINUOUS
TIME
STOCHASTIC
PROCESSES
.
60
5.3.1
STOCHASTIC
CONTINUITY
.
65
5.3.2
EFGM
PROCESSES
.
70
5.4
MARKOV
PROCESSES
.
73
5.4.1
AN
APPLICATION:
STRUCTURE
OF
RECORDS
.
77
5.4.2
SYMMETRY
.
81
5.5
CONTINUOUS
LOCAL
MARTINGALES
.
86
A
GENERAL
RESULTS
FROM
PROBABILITY
THEORY
93
A.L
GENERALIZED
INVERSE
.
93
A.
2
PROBABILITY
DISTRIBUTIONS
.
94
B
SIMULATION/RANDOM
VARIATE
GENERATION
95
B.L
THE
CONDITIONAL
DISTRIBUTION
METHOD
.
95
B.2
SIMULATING
FROM
ARCHIMEDEAN
COPULAS
.
96
B.3
GENERATION
OF
TIME-SERIES
FROM
BIVARIATE
COPULAS
.
97
LIST
OF
SYMBOLS
AND
ABBREVIATIONS
99
BIBLIOGRAPHY
103
INDEX
109 |
| any_adam_object | 1 |
| author | Schmitz, Volker |
| author_facet | Schmitz, Volker |
| author_role | aut |
| author_sort | Schmitz, Volker |
| author_variant | v s vs |
| building | Verbundindex |
| bvnumber | BV017080418 |
| ctrlnum | (OCoLC)55148422 (DE-599)BVBBV017080418 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 c 4500</leader><controlfield tag="001">BV017080418</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20030908</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">030415s2003 gw d||| m||| 00||| eng d</controlfield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">967207711</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">3832212787</subfield><subfield code="9">3-8322-1278-7</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)55148422</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV017080418</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">DE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-91</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Schmitz, Volker</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Copulas and stochastic processes</subfield><subfield code="c">Volker Schmitz</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Aachen</subfield><subfield code="b">Shaker</subfield><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">VI, 110 S.</subfield><subfield code="b">graph. Darst. : 21 cm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Berichte aus der Mathematik</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Zugl.: Aachen, Techn. Hochsch., Diss., 2003</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastischer Prozess</subfield><subfield code="0">(DE-588)4057630-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kopula</subfield><subfield code="g">Mathematik</subfield><subfield code="0">(DE-588)4529954-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Kopula</subfield><subfield code="g">Mathematik</subfield><subfield code="0">(DE-588)4529954-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Stochastischer Prozess</subfield><subfield code="0">(DE-588)4057630-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">DNB Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010304653&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-010304653</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV017080418 |
| illustrated | Illustrated |
| indexdate | 2024-08-22T00:19:34Z |
| institution | BVB |
| isbn | 3832212787 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010304653 |
| oclc_num | 55148422 |
| open_access_boolean | |
| owner | DE-91 DE-BY-TUM |
| owner_facet | DE-91 DE-BY-TUM |
| physical | VI, 110 S. graph. Darst. : 21 cm |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Shaker |
| record_format | marc |
| series2 | Berichte aus der Mathematik |
| spelling | Schmitz, Volker Verfasser aut Copulas and stochastic processes Volker Schmitz Aachen Shaker 2003 VI, 110 S. graph. Darst. : 21 cm txt rdacontent n rdamedia nc rdacarrier Berichte aus der Mathematik Zugl.: Aachen, Techn. Hochsch., Diss., 2003 Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kopula Mathematik (DE-588)4529954-7 s Stochastischer Prozess (DE-588)4057630-9 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010304653&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schmitz, Volker Copulas and stochastic processes Stochastischer Prozess (DE-588)4057630-9 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| subject_GND | (DE-588)4057630-9 (DE-588)4529954-7 (DE-588)4113937-9 |
| title | Copulas and stochastic processes |
| title_auth | Copulas and stochastic processes |
| title_exact_search | Copulas and stochastic processes |
| title_full | Copulas and stochastic processes Volker Schmitz |
| title_fullStr | Copulas and stochastic processes Volker Schmitz |
| title_full_unstemmed | Copulas and stochastic processes Volker Schmitz |
| title_short | Copulas and stochastic processes |
| title_sort | copulas and stochastic processes |
| topic | Stochastischer Prozess (DE-588)4057630-9 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| topic_facet | Stochastischer Prozess Kopula Mathematik Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010304653&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT schmitzvolker copulasandstochasticprocesses |