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Original title:
Stochastic representations of Marshall–Olkin distributions and upper semilinear copulas
Translated title:
Stochastische Darstellungen von Marshall–Olkin Verteilungen und upper semilinear Copulas
Author:
Sloot, Henrik
Year:
2023
Document type:
Dissertation
Faculty/School:
TUM School of Computation, Information and Technology
Advisor:
Scherer, Matthias (Prof. Dr.)
Referee:
Scherer, Matthias (Prof. Dr.); Durante, Fabrizio (Prof. Dr.); Trutschnig, Wolfgang (Prof. Dr.)
Language:
en
Subject group:
MAT Mathematik
TUM classification:
WIR 190; MAT 902
Abstract:
This dissertation develops stochastic representations for upper semilinear copulas and extendible Marshall-Olkin distributions, enabling probabilistic approaches and simulation algorithms. It derives three upper semilinear copula subclasses’ stochastic representations, proposes an efficient, numerically stable simulation algorithm for high-dimensional extendible Marshall–Olkin, and characterizes survival functions and de Finetti representations for generalized Marshall-Olkin distributions.
Translated abstract:
Diese Dissertation entwickelt stoch. Darstellungen für upper semilinear Copulas und extendible Marshall-Olkin-Verteilungen, was probabilistische Ansätze und Simulationsalgorithmen ermöglicht. Sie leitet die stoch. Darstellungen von drei USL Copula–Unterklassen her, entwickelt einen effizienten, numerisch stabilen Simulationsalgorithmus für hochdimensionale extendible MO Verteilungen und charakterisiert Survival-Funktionen und de Finetti Darstellungen für generalized MO Verteilungen.
WWW:
https://mediatum.ub.tum.de/?id=1712957
Date of submission:
26.06.2023
Oral examination:
20.12.2023
File size:
8135990 bytes
Pages:
214
Urn (citeable URL):
https://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:91-diss-20231220-1712957-1-1
Last change:
19.01.2024
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