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
Autor*in: |
Furmańczyk, Konrad [verfasserIn] |
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Format: |
Artikel |
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Sprache: |
Englisch |
Erschienen: |
2015 |
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Schlagwörter: |
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Anmerkung: |
© The Author(s) 2015 |
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Übergeordnetes Werk: |
Enthalten in: Statistical methods & applications - Springer Berlin Heidelberg, 2001, 25(2015), 2 vom: 05. Juli, Seite 269-283 |
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Übergeordnetes Werk: |
volume:25 ; year:2015 ; number:2 ; day:05 ; month:07 ; pages:269-283 |
Links: |
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DOI / URN: |
10.1007/s10260-015-0326-7 |
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Katalog-ID: |
OLC207124933X |
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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 |
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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 |
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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 |
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