Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 7 of 7 for “"Copula Theory"”.
-
Applications of Copula Theory and Regime Switching in Finance
… of the dependence structure, which resulted in copula models attracting attention and becoming popular over the last decade. Copulas provide greater flexibility by allowing the dependence structure to be modelled separately from marginal distributions. Furthermore, a rich class of higher …
-
Stochastic Orders Applied to Insurance and Economics
… random variables involved. Stochastic Ordering Theory, which addresses the problem of the comparison between two random variables (or vectors), arises as a robust tool for decision-making under uncertainty. In Financial Risk and Actuarial Theory, multiple risk factors interact among themselves. …
-
Decision-Making with Heterogeneous Sensors - A Copula Based Approach
… heterogeneous sensors. We propose the use of copula theory for this purpose. Copula models are general descriptors of dependence. They provide a way to characterize the nonlinear functional relationships between the multiple modalities, which are otherwise difficult to formalize. The important …
-
Market Dynamics in the Financial Industry - Essays on Interdependence and Market Timing
… traditional linear correlation measures and use copula theory to account for extreme events and tail dependence, which is crucial when studying credit and default risk. Through the calculation of minimum spanning trees, our methodology evaluates the transmission pattern of shocks over time and …
-
Hypothesis Testing Using Spatially Dependent Heavy-Tailed Multisensor Data
… dependent. In this dissertation, we develop the theory of detection for such data, obtained through heterogeneous sensors. In order to validate our theoretical results and proposed algorithms, we collect and analyze the behavior of indoor footstep data using a linear array of seismic sensors. We …
-
Heterogeneous Sensor Signal Processing for Inference with Nonlinear Dependence
… are investigated in this dissertation. We apply copula theory to characterize the dependence among heterogeneous data.</p> <p>In centralized detection, where sensor observations are available at the fusion center (FC), we study copula-based fusion. We design detection algorithms based on …
-
Copula-based Multimodal Data Fusion for Inference with Dependent Observations
… nonlinear cross-modal dependence. We apply copula based methodology to characterize this dependence.</p> <p>In distributed detection, the goal often is to minimize the probability of detection error at the fusion center (FC) based on a fixed number of observations collected by the sensors. …