Essays about: "copula theory"

Showing result 1 - 5 of 19 essays containing the words copula theory.

  1. 1. Towards a Stochastic Operation of Switzerland’s Power Grid

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Alban Maury; [2023]
    Keywords : Monte-Carlo simulations; probabilistic forecasting; copula theory; power flow analysis; Monte Carlo-simuleringar; probabilistiska prognoser; kopulateori; analys av energiflöden;

    Abstract : As Europe’s power production becomes increasingly reliant on intermittent renewable energy sources, uncertainties are likely to arise in power generation plans. Similarly, with the growing prevalence of electric vehicles, electric demand is also becoming more uncertain. READ MORE

  3. 2. Copula approach to fitting bivariate time series

    University essay from Lunds universitet/Matematisk statistik

    Author : Jun Wang; [2023]
    Keywords : VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Abstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE

  4. 3. A short bit on copulas and alternative versions of Spearmans rho

    University essay from Lunds universitet/Matematisk statistik

    Author : Filip Carlsson; [2023]
    Keywords : Mathematics and Statistics;

    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. READ MORE

  5. 4. Estimation of severe crash frequency using two surrogates

    University essay from Lunds universitet/Matematisk statistik

    Author : Zhankun Chen; [2022]
    Keywords : Multivariate Extreme Value distributions; Copula; Extreme Value Theory; Crash frequency; Surrogate Meausre of Safety; Road safety; Mathematics and Statistics;

    Abstract : This thesis is concerned with the estimation of crash frequency based on the bivariate modeling of surrogate measures of safety (SMoS), which serve as indicators for traffic risk. Using the SMoS, any traffic conflict between two road users can be described by their proximity together with their hypothetical consequence. READ MORE

  6. 5. Extreme value modeling of wind effect on dune erosion on the Coast of ̈Angelholm

    University essay from Lunds universitet/Matematisk statistik

    Author : Lionel Arpin-Pont; [2020]
    Keywords : Erosion; Wind speed; Extreme value theory; Block maxima; Peaks over threshold; Copula; Husler-Reiss; Dependence function.; Mathematics and Statistics;

    Abstract : The movement of the coast line, due to erosion in one direction or aggregation in theother is a natural process as waves, wind as well as the geological nature of the coast itselfare affecting it. Sand dunes are the main protection coasts have at their disposal againstfloods during storm surges or from more passive but long range rainfalls. READ MORE