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Document type:
Masterarbeit 
Author(s):
Mario Krali 
Title:
Causality and Estimation of Multivariate Extremes on Directed Acyclic Graphs 
Abstract:
Using recursive max-linear models (RMLM) one can model dependence between node variables by expressing each node variable as a max-linear function of its parental nodes and some other exogenous noise variable. Motivated by extreme value theory, our focus lies in RMLMs when the noise variables are regularly varying random variables, and the underlying causal structure is a directed acyclic graph (DAG). We propose a scaling technique and use scaling parameters in order to determine a causality re-...    »
 
Subject:
MAT Mathematik 
DDC:
510 Mathematik 
Advisor:
Claudia Klüppelberg 
Year:
2018 
Quarter:
2. Quartal 
Year / month:
2018-06 
Month:
Jun 
Pages:
88 
Language:
en 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text 
ingested:
01.06.2018