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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
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