Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation
Abstract Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Furmańczyk, Konrad [verfasserIn] |
|---|
| Format: |
Artikel |
|---|---|
| Sprache: |
Englisch |
| Erschienen: |
2015 |
|---|
| Schlagwörter: |
|---|
| Anmerkung: |
© The Author(s) 2015 |
|---|
| Übergeordnetes Werk: |
Enthalten in: Statistical methods & applications - Springer Berlin Heidelberg, 2001, 25(2015), 2 vom: 05. Juli, Seite 269-283 |
|---|---|
| Übergeordnetes Werk: |
volume:25 ; year:2015 ; number:2 ; day:05 ; month:07 ; pages:269-283 |
| Links: |
|---|
| DOI / URN: |
10.1007/s10260-015-0326-7 |
|---|
| Katalog-ID: |
OLC207124933X |
|---|
| LEADER | 01000caa a22002652 4500 | ||
|---|---|---|---|
| 001 | OLC207124933X | ||
| 003 | DE-627 | ||
| 005 | 20230502180634.0 | ||
| 007 | tu | ||
| 008 | 200820s2015 xx ||||| 00| ||eng c | ||
| 024 | 7 | |a 10.1007/s10260-015-0326-7 |2 doi | |
| 035 | |a (DE-627)OLC207124933X | ||
| 035 | |a (DE-He213)s10260-015-0326-7-p | ||
| 040 | |a DE-627 |b ger |c DE-627 |e rakwb | ||
| 041 | |a eng | ||
| 082 | 0 | 4 | |a 510 |q VZ |
| 082 | 0 | 4 | |a 510 |q VZ |
| 084 | |a 24 |2 ssgn | ||
| 084 | |a 31.73$jMathematische Statistik |2 bkl | ||
| 100 | 1 | |a Furmańczyk, Konrad |e verfasserin |4 aut | |
| 245 | 1 | 0 | |a Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation |
| 264 | 1 | |c 2015 | |
| 336 | |a Text |b txt |2 rdacontent | ||
| 337 | |a ohne Hilfsmittel zu benutzen |b n |2 rdamedia | ||
| 338 | |a Band |b nc |2 rdacarrier | ||
| 500 | |a © The Author(s) 2015 | ||
| 520 | |a Abstract Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to $${{\mathrm{VaR}}}$$ estimation for sums of data from Archimedean copulas. | ||
| 650 | 4 | |a Order statistics | |
| 650 | 4 | |a Archimedean copulas | |
| 650 | 4 | |a Confidence interval for | |
| 773 | 0 | 8 | |i Enthalten in |t Statistical methods & applications |d Springer Berlin Heidelberg, 2001 |g 25(2015), 2 vom: 05. Juli, Seite 269-283 |w (DE-627)350258929 |w (DE-600)2082218-2 |w (DE-576)09971888X |x 1618-2510 |7 nnns |
| 773 | 1 | 8 | |g volume:25 |g year:2015 |g number:2 |g day:05 |g month:07 |g pages:269-283 |
| 856 | 4 | 1 | |u https://doi.org/10.1007/s10260-015-0326-7 |z lizenzpflichtig |3 Volltext |
| 912 | |a GBV_USEFLAG_A | ||
| 912 | |a SYSFLAG_A | ||
| 912 | |a GBV_OLC | ||
| 912 | |a SSG-OLC-MAT | ||
| 912 | |a SSG-OLC-WIW | ||
| 912 | |a SSG-OPC-BBI | ||
| 912 | |a SSG-OPC-MAT | ||
| 912 | |a GBV_ILN_26 | ||
| 912 | |a GBV_ILN_70 | ||
| 912 | |a GBV_ILN_267 | ||
| 912 | |a GBV_ILN_2018 | ||
| 936 | b | k | |a 31.73$jMathematische Statistik |q VZ |0 106418998 |0 (DE-625)106418998 |
| 951 | |a AR | ||
| 952 | |d 25 |j 2015 |e 2 |b 05 |c 07 |h 269-283 | ||
| author_variant |
k f kf |
|---|---|
| matchkey_str |
article:16182510:2015----::rhmdacplsihplctosoa |
| hierarchy_sort_str |
2015 |
| bklnumber |
31.73$jMathematische Statistik |
| publishDate |
2015 |
| allfields |
10.1007/s10260-015-0326-7 doi (DE-627)OLC207124933X (DE-He213)s10260-015-0326-7-p DE-627 ger DE-627 rakwb eng 510 VZ 510 VZ 24 ssgn 31.73$jMathematische Statistik bkl Furmańczyk, Konrad verfasserin aut Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s) 2015 Abstract Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to $${{\mathrm{VaR}}}$$ estimation for sums of data from Archimedean copulas. Order statistics Archimedean copulas Confidence interval for Enthalten in Statistical methods & applications Springer Berlin Heidelberg, 2001 25(2015), 2 vom: 05. Juli, Seite 269-283 (DE-627)350258929 (DE-600)2082218-2 (DE-576)09971888X 1618-2510 nnns volume:25 year:2015 number:2 day:05 month:07 pages:269-283 https://doi.org/10.1007/s10260-015-0326-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-BBI SSG-OPC-MAT GBV_ILN_26 GBV_ILN_70 GBV_ILN_267 GBV_ILN_2018 31.73$jMathematische Statistik VZ 106418998 (DE-625)106418998 AR 25 2015 2 05 07 269-283 |
| spelling |
10.1007/s10260-015-0326-7 doi (DE-627)OLC207124933X (DE-He213)s10260-015-0326-7-p DE-627 ger DE-627 rakwb eng 510 VZ 510 VZ 24 ssgn 31.73$jMathematische Statistik bkl Furmańczyk, Konrad verfasserin aut Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s) 2015 Abstract Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to $${{\mathrm{VaR}}}$$ estimation for sums of data from Archimedean copulas. Order statistics Archimedean copulas Confidence interval for Enthalten in Statistical methods & applications Springer Berlin Heidelberg, 2001 25(2015), 2 vom: 05. Juli, Seite 269-283 (DE-627)350258929 (DE-600)2082218-2 (DE-576)09971888X 1618-2510 nnns volume:25 year:2015 number:2 day:05 month:07 pages:269-283 https://doi.org/10.1007/s10260-015-0326-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-BBI SSG-OPC-MAT GBV_ILN_26 GBV_ILN_70 GBV_ILN_267 GBV_ILN_2018 31.73$jMathematische Statistik VZ 106418998 (DE-625)106418998 AR 25 2015 2 05 07 269-283 |
| allfields_unstemmed |
10.1007/s10260-015-0326-7 doi (DE-627)OLC207124933X (DE-He213)s10260-015-0326-7-p DE-627 ger DE-627 rakwb eng 510 VZ 510 VZ 24 ssgn 31.73$jMathematische Statistik bkl Furmańczyk, Konrad verfasserin aut Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s) 2015 Abstract Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to $${{\mathrm{VaR}}}$$ estimation for sums of data from Archimedean copulas. Order statistics Archimedean copulas Confidence interval for Enthalten in Statistical methods & applications Springer Berlin Heidelberg, 2001 25(2015), 2 vom: 05. Juli, Seite 269-283 (DE-627)350258929 (DE-600)2082218-2 (DE-576)09971888X 1618-2510 nnns volume:25 year:2015 number:2 day:05 month:07 pages:269-283 https://doi.org/10.1007/s10260-015-0326-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-BBI SSG-OPC-MAT GBV_ILN_26 GBV_ILN_70 GBV_ILN_267 GBV_ILN_2018 31.73$jMathematische Statistik VZ 106418998 (DE-625)106418998 AR 25 2015 2 05 07 269-283 |
| allfieldsGer |
10.1007/s10260-015-0326-7 doi (DE-627)OLC207124933X (DE-He213)s10260-015-0326-7-p DE-627 ger DE-627 rakwb eng 510 VZ 510 VZ 24 ssgn 31.73$jMathematische Statistik bkl Furmańczyk, Konrad verfasserin aut Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s) 2015 Abstract Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to $${{\mathrm{VaR}}}$$ estimation for sums of data from Archimedean copulas. Order statistics Archimedean copulas Confidence interval for Enthalten in Statistical methods & applications Springer Berlin Heidelberg, 2001 25(2015), 2 vom: 05. Juli, Seite 269-283 (DE-627)350258929 (DE-600)2082218-2 (DE-576)09971888X 1618-2510 nnns volume:25 year:2015 number:2 day:05 month:07 pages:269-283 https://doi.org/10.1007/s10260-015-0326-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-BBI SSG-OPC-MAT GBV_ILN_26 GBV_ILN_70 GBV_ILN_267 GBV_ILN_2018 31.73$jMathematische Statistik VZ 106418998 (DE-625)106418998 AR 25 2015 2 05 07 269-283 |
| allfieldsSound |
10.1007/s10260-015-0326-7 doi (DE-627)OLC207124933X (DE-He213)s10260-015-0326-7-p DE-627 ger DE-627 rakwb eng 510 VZ 510 VZ 24 ssgn 31.73$jMathematische Statistik bkl Furmańczyk, Konrad verfasserin aut Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s) 2015 Abstract Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to $${{\mathrm{VaR}}}$$ estimation for sums of data from Archimedean copulas. Order statistics Archimedean copulas Confidence interval for Enthalten in Statistical methods & applications Springer Berlin Heidelberg, 2001 25(2015), 2 vom: 05. Juli, Seite 269-283 (DE-627)350258929 (DE-600)2082218-2 (DE-576)09971888X 1618-2510 nnns volume:25 year:2015 number:2 day:05 month:07 pages:269-283 https://doi.org/10.1007/s10260-015-0326-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-BBI SSG-OPC-MAT GBV_ILN_26 GBV_ILN_70 GBV_ILN_267 GBV_ILN_2018 31.73$jMathematische Statistik VZ 106418998 (DE-625)106418998 AR 25 2015 2 05 07 269-283 |
| language |
English |
| source |
Enthalten in Statistical methods & applications 25(2015), 2 vom: 05. Juli, Seite 269-283 volume:25 year:2015 number:2 day:05 month:07 pages:269-283 |
| sourceStr |
Enthalten in Statistical methods & applications 25(2015), 2 vom: 05. Juli, Seite 269-283 volume:25 year:2015 number:2 day:05 month:07 pages:269-283 |
| format_phy_str_mv |
Article |
| institution |
findex.gbv.de |
| topic_facet |
Order statistics Archimedean copulas Confidence interval for |
| dewey-raw |
510 |
| isfreeaccess_bool |
false |
| container_title |
Statistical methods & applications |
| authorswithroles_txt_mv |
Furmańczyk, Konrad @@aut@@ |
| publishDateDaySort_date |
2015-07-05T00:00:00Z |
| hierarchy_top_id |
350258929 |
| dewey-sort |
3510 |
| id |
OLC207124933X |
| language_de |
englisch |
| fullrecord |
<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">OLC207124933X</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230502180634.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">200820s2015 xx ||||| 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/s10260-015-0326-7</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC207124933X</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-He213)s10260-015-0326-7-p</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">510</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">510</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">24</subfield><subfield code="2">ssgn</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">31.73$jMathematische Statistik</subfield><subfield code="2">bkl</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Furmańczyk, Konrad</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2015</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">© The Author(s) 2015</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Abstract Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to $${{\mathrm{VaR}}}$$ estimation for sums of data from Archimedean copulas.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Order statistics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Archimedean copulas</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Confidence interval for</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Statistical methods & applications</subfield><subfield code="d">Springer Berlin Heidelberg, 2001</subfield><subfield code="g">25(2015), 2 vom: 05. Juli, Seite 269-283</subfield><subfield code="w">(DE-627)350258929</subfield><subfield code="w">(DE-600)2082218-2</subfield><subfield code="w">(DE-576)09971888X</subfield><subfield code="x">1618-2510</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:25</subfield><subfield code="g">year:2015</subfield><subfield code="g">number:2</subfield><subfield code="g">day:05</subfield><subfield code="g">month:07</subfield><subfield code="g">pages:269-283</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">https://doi.org/10.1007/s10260-015-0326-7</subfield><subfield code="z">lizenzpflichtig</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-MAT</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OPC-BBI</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OPC-MAT</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_70</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_267</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2018</subfield></datafield><datafield tag="936" ind1="b" ind2="k"><subfield code="a">31.73$jMathematische Statistik</subfield><subfield code="q">VZ</subfield><subfield code="0">106418998</subfield><subfield code="0">(DE-625)106418998</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">25</subfield><subfield code="j">2015</subfield><subfield code="e">2</subfield><subfield code="b">05</subfield><subfield code="c">07</subfield><subfield code="h">269-283</subfield></datafield></record></collection>
|
| author |
Furmańczyk, Konrad |
| spellingShingle |
Furmańczyk, Konrad ddc 510 ssgn 24 bkl 31.73$jMathematische Statistik misc Order statistics misc Archimedean copulas misc Confidence interval for Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation |
| authorStr |
Furmańczyk, Konrad |
| ppnlink_with_tag_str_mv |
@@773@@(DE-627)350258929 |
| format |
Article |
| dewey-ones |
510 - Mathematics |
| delete_txt_mv |
keep |
| author_role |
aut |
| collection |
OLC |
| remote_str |
false |
| illustrated |
Not Illustrated |
| issn |
1618-2510 |
| topic_title |
510 VZ 24 ssgn 31.73$jMathematische Statistik bkl Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation Order statistics Archimedean copulas Confidence interval for |
| topic |
ddc 510 ssgn 24 bkl 31.73$jMathematische Statistik misc Order statistics misc Archimedean copulas misc Confidence interval for |
| topic_unstemmed |
ddc 510 ssgn 24 bkl 31.73$jMathematische Statistik misc Order statistics misc Archimedean copulas misc Confidence interval for |
| topic_browse |
ddc 510 ssgn 24 bkl 31.73$jMathematische Statistik misc Order statistics misc Archimedean copulas misc Confidence interval for |
| format_facet |
Aufsätze Gedruckte Aufsätze |
| format_main_str_mv |
Text Zeitschrift/Artikel |
| carriertype_str_mv |
nc |
| hierarchy_parent_title |
Statistical methods & applications |
| hierarchy_parent_id |
350258929 |
| dewey-tens |
510 - Mathematics |
| hierarchy_top_title |
Statistical methods & applications |
| isfreeaccess_txt |
false |
| familylinks_str_mv |
(DE-627)350258929 (DE-600)2082218-2 (DE-576)09971888X |
| title |
Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation |
| ctrlnum |
(DE-627)OLC207124933X (DE-He213)s10260-015-0326-7-p |
| title_full |
Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation |
| author_sort |
Furmańczyk, Konrad |
| journal |
Statistical methods & applications |
| journalStr |
Statistical methods & applications |
| lang_code |
eng |
| isOA_bool |
false |
| dewey-hundreds |
500 - Science |
| recordtype |
marc |
| publishDateSort |
2015 |
| contenttype_str_mv |
txt |
| container_start_page |
269 |
| author_browse |
Furmańczyk, Konrad |
| container_volume |
25 |
| class |
510 VZ 24 ssgn 31.73$jMathematische Statistik bkl |
| format_se |
Aufsätze |
| author-letter |
Furmańczyk, Konrad |
| doi_str_mv |
10.1007/s10260-015-0326-7 |
| normlink |
106418998 |
| normlink_prefix_str_mv |
106418998 (DE-625)106418998 |
| dewey-full |
510 |
| title_sort |
archimedean copulas with applications to $${{\mathrm{var}}}$$ estimation |
| title_auth |
Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation |
| abstract |
Abstract Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to $${{\mathrm{VaR}}}$$ estimation for sums of data from Archimedean copulas. © The Author(s) 2015 |
| abstractGer |
Abstract Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to $${{\mathrm{VaR}}}$$ estimation for sums of data from Archimedean copulas. © The Author(s) 2015 |
| abstract_unstemmed |
Abstract Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to $${{\mathrm{VaR}}}$$ estimation for sums of data from Archimedean copulas. © The Author(s) 2015 |
| collection_details |
GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-BBI SSG-OPC-MAT GBV_ILN_26 GBV_ILN_70 GBV_ILN_267 GBV_ILN_2018 |
| container_issue |
2 |
| title_short |
Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation |
| url |
https://doi.org/10.1007/s10260-015-0326-7 |
| remote_bool |
false |
| ppnlink |
350258929 |
| mediatype_str_mv |
n |
| isOA_txt |
false |
| hochschulschrift_bool |
false |
| doi_str |
10.1007/s10260-015-0326-7 |
| up_date |
2024-07-04T03:15:50.612Z |
| _version_ |
1803616728508268544 |
| fullrecord_marcxml |
<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">OLC207124933X</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230502180634.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">200820s2015 xx ||||| 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/s10260-015-0326-7</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC207124933X</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-He213)s10260-015-0326-7-p</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">510</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">510</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">24</subfield><subfield code="2">ssgn</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">31.73$jMathematische Statistik</subfield><subfield code="2">bkl</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Furmańczyk, Konrad</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Archimedean copulas with applications to $${{\mathrm{VaR}}}$$ estimation</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2015</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">© The Author(s) 2015</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Abstract Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics. We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to $${{\mathrm{VaR}}}$$ estimation for sums of data from Archimedean copulas.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Order statistics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Archimedean copulas</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Confidence interval for</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Statistical methods & applications</subfield><subfield code="d">Springer Berlin Heidelberg, 2001</subfield><subfield code="g">25(2015), 2 vom: 05. Juli, Seite 269-283</subfield><subfield code="w">(DE-627)350258929</subfield><subfield code="w">(DE-600)2082218-2</subfield><subfield code="w">(DE-576)09971888X</subfield><subfield code="x">1618-2510</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:25</subfield><subfield code="g">year:2015</subfield><subfield code="g">number:2</subfield><subfield code="g">day:05</subfield><subfield code="g">month:07</subfield><subfield code="g">pages:269-283</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">https://doi.org/10.1007/s10260-015-0326-7</subfield><subfield code="z">lizenzpflichtig</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-MAT</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OPC-BBI</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OPC-MAT</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_70</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_267</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2018</subfield></datafield><datafield tag="936" ind1="b" ind2="k"><subfield code="a">31.73$jMathematische Statistik</subfield><subfield code="q">VZ</subfield><subfield code="0">106418998</subfield><subfield code="0">(DE-625)106418998</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">25</subfield><subfield code="j">2015</subfield><subfield code="e">2</subfield><subfield code="b">05</subfield><subfield code="c">07</subfield><subfield code="h">269-283</subfield></datafield></record></collection>
|
| score |
7.4010725 |