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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 w...     »
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
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