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Document type:
Masterarbeit 
Author(s):
Jan-Eric Egenolf 
Title:
Asymptotic properties of the empirical spatial extremogram observed on an irregular grid 
Abstract:
The extremogram is a widely common measure to assess extremal dependence for random processes and is applicable throughout different fields in extreme value theory. For example, the tail dependence coefficient, which is often considered in the finance industry, is one of its special cases. We investigate the asymptotic properties of the empirical version of the extremogram, which is based on a kernel estimator, and assume that the observations of the random process come from a multidimensional P...    »
 
Subject:
MAT Mathematik 
DDC:
510 Mathematik 
Advisor:
Claudia Klüppelberg 
Year:
2018 
Quarter:
2. Quartal 
Year / month:
2018-05 
Month:
May 
Pages:
70 
Language:
en 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text 
ingested:
15.05.2018