On copula density estimation and measures of multivariate association:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Lohmar [u.a.]
Eul
2012
|
| Ausgabe: | 1. Aufl. |
| Schriftenreihe: | Quantitative Ökonomie
171 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXII, 178 S. graph. Darst. |
| ISBN: | 9783844101218 |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | IMAGE 1
CONTENTS
LIST O F F I G U R E S X I V
L I S T O F T A B L E S X I X
L I S T O F S Y M B O L S X X I I
1 I N T R O D U C T I O N 1
2 C O P U L A S 5
2.1 DEFINITION A N D CHARACTERIZATION 5
2.2 PROPERTIES . 10
2.3 EXAMPLES 14
2.3.1 ELLIPTICAL COPULAS 14
2.3.2 ARCHIMEDEAN COPULAS 17
3 M U L T I V A R I A T E M E A S U R E S O F A S S O C I A T I O N 2 1
3.1 DEFINITION A N D PROPERTIES 21
3.2 CONCORDANCE-BASED MEASURES OF MULTIVARIATE ASSOCIATION 25
3.2.1 A N INTRODUCTION T O CONCORDANCE 25
3.2.2 S P E A R M A N S RLIO 27
3.2.3 KENDALL S TAIL 29
3.3 INFORMATION-BASED MEASURES OF MULTIVARIATE ASSOCIATION 32
3.3.1 M U T U A L INFORMATION 34
3.3.2 PEARSON S PHI-SQUARE 50
3.4 S U M M A R Y 5 3
4 C O P U L A D E N S I T Y E S T I M A T I O N 5 5
4.1 KERNEL DENSITY ESTIMATION 56
4.2 T H E HISTOGRAM ESTIMATOR 65
4.3 T H E FC-NEAREST NEIGHBOR ESTIMATOR 67
HTTP://D-NB.INFO/1019003030
IMAGE 2
4.4 T H E B E T A KERNEL ESTIMATOR 68
4.5 T H E BERNSTEIN COPULA ESTIMATOR 71
4.6 S U M M A R Y 73
5 E S T I M A T I N G M U T U A L I N F O R M A T I O N 7 5
5.1 NONPARAMETRIC ESTIMATION PROCEDURE 75
5.2 VARIANCE ESTIMATION 80
5.3 SIMULATION STUDY: RESULTS 85
5.4 S U M M A R Y 92
6 E S T I M A T I O N O F C O P U L A S F R O M A G G R E G A T E D D A
T A 9 5
6.1 NOTATIONS A N D DEFINITIONS 95
6.2 ESTIMATING SPEARMAN S RHO A N D KENDALL S T A N 108
6.3 SIMULATION STUDY: RESULTS 110
6.4 AN APPLICATION TO STOCK D A T A 119
6.5 S U M M A R Y 121
7 C O N C L U S I O N 1 2 3
A G E N E R A T O R S O F A R C H I M E D E A N C O P U L A S 1 2 5
A . L FRANK COPULA 125
A.2 CLAYTON COPULA 126
B O R D E R O F M A G N I T U D E 1 2 7
C P R O O F S O F C H A P T E R 4 A N D L I A P U N O V S C L T 1 2 9
D M U T U A L I N F O R M A T I O N : E S T I M A T I O N R E S U L T S
1 3 7
E A G G R E G A T E D O B S E R V A T I O N S : E S T I M A T I O N R E
S U L T S 1 4 3
E . L S P E A R M A N S R H O 143
E.2 KENDALL S T A N 152
B I B L I O G R A P H Y 1 6 1
I N D E X 1 7 7
|
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| author | Blumentritt, Thomas 1981- |
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| bvnumber | BV039871972 |
| classification_rvk | QH 233 |
| ctrlnum | (OCoLC)780111064 (DE-599)DNB1019003030 |
| dewey-full | 330.015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.015195 |
| dewey-search | 330.015195 |
| dewey-sort | 3330.015195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. Aufl. |
| format | Thesis Book |
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| genre_facet | Hochschulschrift |
| id | DE-604.BV039871972 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:13:06Z |
| institution | BVB |
| isbn | 9783844101218 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024731276 |
| oclc_num | 780111064 |
| open_access_boolean | |
| owner | DE-945 DE-384 DE-188 DE-N2 |
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| physical | XXII, 178 S. graph. Darst. |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Eul |
| record_format | marc |
| series | Quantitative Ökonomie |
| series2 | Quantitative Ökonomie |
| spelling | Blumentritt, Thomas 1981- Verfasser (DE-588)1019164204 aut On copula density estimation and measures of multivariate association Thomas Blumentritt 1. Aufl. Lohmar [u.a.] Eul 2012 XXII, 178 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Quantitative Ökonomie 171 Zugl.: Köln, Univ., Diss., 2011 Abstand (DE-588)4228463-6 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf Dichteschätzung (DE-588)4353528-8 gnd rswk-swf Multivariate Analyse (DE-588)4040708-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kopula Mathematik (DE-588)4529954-7 s Dichteschätzung (DE-588)4353528-8 s Multivariate Analyse (DE-588)4040708-1 s DE-604 Abstand (DE-588)4228463-6 s b DE-604 Quantitative Ökonomie 171 (DE-604)BV023548254 171 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024731276&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Blumentritt, Thomas 1981- On copula density estimation and measures of multivariate association Quantitative Ökonomie Abstand (DE-588)4228463-6 gnd Kopula Mathematik (DE-588)4529954-7 gnd Dichteschätzung (DE-588)4353528-8 gnd Multivariate Analyse (DE-588)4040708-1 gnd |
| subject_GND | (DE-588)4228463-6 (DE-588)4529954-7 (DE-588)4353528-8 (DE-588)4040708-1 (DE-588)4113937-9 |
| title | On copula density estimation and measures of multivariate association |
| title_auth | On copula density estimation and measures of multivariate association |
| title_exact_search | On copula density estimation and measures of multivariate association |
| title_full | On copula density estimation and measures of multivariate association Thomas Blumentritt |
| title_fullStr | On copula density estimation and measures of multivariate association Thomas Blumentritt |
| title_full_unstemmed | On copula density estimation and measures of multivariate association Thomas Blumentritt |
| title_short | On copula density estimation and measures of multivariate association |
| title_sort | on copula density estimation and measures of multivariate association |
| topic | Abstand (DE-588)4228463-6 gnd Kopula Mathematik (DE-588)4529954-7 gnd Dichteschätzung (DE-588)4353528-8 gnd Multivariate Analyse (DE-588)4040708-1 gnd |
| topic_facet | Abstand Kopula Mathematik Dichteschätzung Multivariate Analyse Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024731276&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV023548254 |
| work_keys_str_mv | AT blumentrittthomas oncopuladensityestimationandmeasuresofmultivariateassociation |