Metody inference pro empirické copule
| Thesis title in Czech: | Metody inference pro empirické copule |
|---|---|
| Thesis title in English: | Methods of inference for empirical copulas |
| Academic year of topic announcement: | 2023/2024 |
| Thesis type: | diploma thesis |
| Thesis language: | |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | doc. Ing. Marek Omelka, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 04.02.2024 |
| Date of assignment: | 05.02.2024 |
| Confirmed by Study dept. on: | 05.02.2024 |
| Guidelines |
| Copule je funkce, která zachycuje struktury závislosti náhodného vektoru. Empirická copule pak představuje základní neparametrický odhad této struktury. Student(ka) přehledně sepíše a porovná různé metody, které umožňují testovat hypotézy či sestavovat intervaly spolehlivosti např. pro hodnotu copule v daném bodě nebo pro míru závislosti odvozenou z copule. |
| References |
| Bücher, A., and Dette, H. (2010), “A Note on Bootstrap Approximations for the Empirical Copula Process,” Statistics and Probability Letters, 80, 1925-1932.
Bücher, A., and Kojadinovic, I. (2016), “A Dependent Multiplier Bootstrap for the Sequential Empirical Copula Process Under Strong Mixing,” Bernoulli, 2, 927–968. Kojadinovic, I., and Yan, J. (2011), “A Goodness-of-Fit Test for Multivariate Multiparameter Copulas based on Multiplier Central Limit Theorems,” Statistics and Computing, 21, 17–30. Kojadinovic, I., and Stemikovskaya, K. (2019). Subsampling (weighted smooth) empirical copula processes. Journal of Multivariate Analysis, 173, 704-723. Rémillard, B., and Scaillet, O. (2009), “Testing for Equality between Two Copulas,” Journal of Multivariate Analysis, 100, 377–386. Seo, J. (2023). Tie-break Bootstrap for Nonparametric Rank Statistics. Journal of Business & Economic Statistics, 1-13. |