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A short bit on copulas and alternative versions of Spearmans rho

Carlsson, Filip LU (2023) In Bachelor's Theses in Mathematical Sciences FMSL01 20221
Mathematical 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:
author
Carlsson, Filip LU
supervisor
organization
course
FMSL01 20221
year
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}},
}