Essays about: "multivariat normalfördelning"

Found 3 essays containing the words multivariat normalfördelning.

  1. 1. Geometry of high dimensional Gaussian data

    University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Author : Olof Samuel Mossberg; [2024]
    Keywords : HDLSS; high dimensional data; stochastic boundedness; asymptotic orthogonality; geometry; multivariate normal distribution; HDLSS; högdimensionell data; stokastisk begränsning; asymptotisk ortogonalitet; geometri; multivariat normalfördelning;

    Abstract : Collected data may simultaneously be of low sample size and high dimension. Such data exhibit some geometric regularities consisting of a single observation being a rotation on a sphere, and a pair of observations being orthogonal. This thesis investigates these geometric properties in some detail. READ MORE

  3. 2. Risk contribution and its application in asset and risk management for life insurance

    University essay from KTH/Matematisk statistik

    Author : Jesper Sundin; [2016]
    Keywords : Risk contribution; capital allocation; Value-at-Risk; elliptical distri-bution; multivariate log-normal distribution; kernel estimation;

    Abstract : In risk management one important aspect is the allocation of total portfolio risk into its components. This can be done by measuring each components' risk contribution relative to the total risk, taking into account the covariance between components. READ MORE

  4. 3. The Effects of Asset Return Correlation Errors in the Creditmetrics Framework

    University essay from KTH/Matematik (Inst.)

    Author : Simon Gunnarsson; Anders Lundstedt; [2011]
    Keywords : ;

    Abstract : To determine risk of a bond portfolio one might assume that the obligors' asset returns follow a multivariate normal distribution with certain correlations. We investigate how errors in the estimates of these correlations aect portfolio risk measures, where the CreditMetrics framework is used to model portfolio behavior. READ MORE