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COPULA MODELS AND DEPENDENCE CONCEPTS
by
Val´erie Pirktl
A Thesis Presented to the
FACULTY OF THE GRADUATE SCHOOL
UNIVERSITY OF SOUTHERN CALIFORNIA
In Partial Fulfillment of the
Requirements for the Degree
MASTER OF SCIENCE
(STATISTICS)
May 2007
Copyright 2007 Val´erie Pirktl
Object Description
| Title | Copula methods and dependence concepts |
| Author | Pirktl, Valérie |
| Author email | pirktl@usc.edu |
| Degree | Master of Science |
| Document type | Thesis |
| Degree program | Applied Mathematics |
| School | College of Letters, Arts and Sciences |
| Date defended/completed | 2007 |
| Date submitted | 2007 |
| Restricted until | Restricted until 15 Feb. 2009. |
| Date published | 2009-02-15 |
| Advisor (committee chair) | Goldstein, Larry |
| Advisor (committee member) |
[illegible] Alexander, Kenneth S. |
| Abstract | A construction of multivariate distribution functions that allows for a wide range in the choice of the marginals and the type of dependence is based on the copula function. We introduce thefundamental concepts and properties of copulae and consider various copula-based dependence measures. Then we discuss the class of Archimedean copulae in more detail and give different methods for extending the Archimedean class to include non-exchangeable copulae. Finally, we provide an overview of statistical inference methods for copulae and give two empirical data analysis examples. |
| Keyword | statistics |
| Language | English |
| Part of collection | University of Southern California dissertations and theses |
| Publisher (of the original version) | University of Southern California |
| Place of publication (of the original version) | Los Angeles, California |
| Publisher (of the digital version) | University of Southern California. Libraries |
| Type | texts |
| Legacy record ID | usctheses-m261 |
| Rights | Pirktl, Valérie |
| Repository name | Libraries, University of Southern California |
| Repository address | Los Angeles, California |
| Repository email | http://www.usc.edu/isd/libraries/services/ask_a_librarian/email/ |
| Filename | etd-Pirktl-20070215 |
| Archival file | uscthesesreloadpub_Volume29/etd-Pirktl-20070215.pdf |
Description
| Title | Page 1 |
| Full text | COPULA MODELS AND DEPENDENCE CONCEPTS by Val´erie Pirktl A Thesis Presented to the FACULTY OF THE GRADUATE SCHOOL UNIVERSITY OF SOUTHERN CALIFORNIA In Partial Fulfillment of the Requirements for the Degree MASTER OF SCIENCE (STATISTICS) May 2007 Copyright 2007 Val´erie Pirktl |
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