A short bit on copulas and alternative versions of Spearmans rho
(2023) In Bachelor's Theses in Mathematical Sciences FMSL01 20221Mathematical Statistics
- Abstract (Swedish)
- This thesis aims to understand copula theory and its application in measuring dependence, particularly in the context of the paper "Multivariate conditional versions of Spearman’s rho and related measures of tail dependence" by Schmid and Schmidt. We clarify certain statements and formulas in Schmid and Schmidt's work, explore the potential of the conditional version of Spearman's rho, and demonstrate empirical versions of copulas and Spearman's rho using a bivariate normal distribution. The findings support the usefulness of copula theory and suggest further research with different copulas and data sets.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9113402
- author
- Carlsson, Filip LU
- supervisor
- organization
- course
- FMSL01 20221
- year
- 2023
- type
- M2 - Bachelor Degree
- subject
- publication/series
- Bachelor's Theses in Mathematical Sciences
- report number
- LUTFMS-4013-2023
- ISSN
- 1654-6229
- other publication id
- 2023:K7
- language
- English
- id
- 9113402
- date added to LUP
- 2023-04-13 08:21:38
- date last changed
- 2023-04-13 14:23:54
@misc{9113402, abstract = {{This thesis aims to understand copula theory and its application in measuring dependence, particularly in the context of the paper "Multivariate conditional versions of Spearman’s rho and related measures of tail dependence" by Schmid and Schmidt. We clarify certain statements and formulas in Schmid and Schmidt's work, explore the potential of the conditional version of Spearman's rho, and demonstrate empirical versions of copulas and Spearman's rho using a bivariate normal distribution. The findings support the usefulness of copula theory and suggest further research with different copulas and data sets.}}, author = {{Carlsson, Filip}}, issn = {{1654-6229}}, language = {{eng}}, note = {{Student Paper}}, series = {{Bachelor's Theses in Mathematical Sciences}}, title = {{A short bit on copulas and alternative versions of Spearmans rho}}, year = {{2023}}, }