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Document type:
Masterarbeit
Author(s):
Julian Grauer
Title:
Tail Dependence, Bootstrap and Goodness-Of-Fit Tests
Abstract:
This thesis deals with the tail dependence function. We will prove the consistency of a nonparametric estimator in d-dimensions, do simulations for various applications of the tail dependence function and therefore develop the R package tailDepFunc. After a short introduction, we will present some mathematical background. We introduce copulas and some of their properties. Further, elliptical distributions and elliptical copulas will be discussed as well as Gaussian random fields, which we need...     »
Subject:
MAT Mathematik
DDC:
510 Mathematik
Supervisor:
Claudia Klüppelberg
Advisor:
Stephan Haug
Referee:
Claudia Klüppelberg
Year:
2015
Quarter:
4. Quartal
Year / month:
2015-11
Month:
Nov
Pages:
117
Language:
en
Language from translation:
de
University:
Technische Universität München
Faculty:
Fakultät für Mathematik
TUM Institution:
Lehrstuhl für Mathematische Statistik
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