User: Guest  Login
Document type:
Masterarbeit 
Author(s):
Johannes Süß 
Title:
Vine Copula Modeling in Operational Risk 
Abstract:
Working with zero inated data sets often requires the computation of multivariate margins of a density. This is usually done by integration. For R-vine densities this integration is hardly feasible even if the dimension of the integral is only two or three. So we develop a method to approximate multivariate margins of a R-vine copula. Therefore we introduce a tool called R-vine matching which allows to switch between R-vines with different structure and different bivariate copula families but...    »
 
Subject:
MAT Mathematik 
DDC:
510 Mathematik 
Advisor:
Matthias Killiches, Claudia Czado 
Year:
2016 
Quarter:
3. Quartal 
Year / month:
2016-09 
Month:
Sep 
Pages:
154 
Language:
en 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text 
ingested:
30.09.2016