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Angaben zur Quelle [Bearbeiten]

Autor     Francisco Morales
Titel    Estimation of Max-Stable Processes Using Monte Carlo Methods with Applications to Financial Risk Assessment
Ort    Chapel Hill
Jahr    2005
Anmerkung    A dissertation submitted to the faculty of the University of North Carolina at Chapel Hill in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Department of Statistics.
URL    http://www.stat.unc.edu/postscript/rs/ChamuDissFinal.pdf

Literaturverz.   

no
Fußnoten    no
Fragmente    2


Fragmente der Quelle:
[1.] Rh/Fragment 011 20 - Diskussion
Zuletzt bearbeitet: 2012-07-31 15:18:41 WiseWoman
Fragment, Gesichtet, Morales 2005, Rh, SMWFragment, Schutzlevel sysop, Verschleierung

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Hindemith
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Untersuchte Arbeit:
Seite: 11, Zeilen: 20-26
Quelle: Morales_2005
Seite(n): 7, Zeilen: 3-13
In this section we review the basic background for univariate and multivariate extreme value theory for iid random variables, as well as the corresponding theory for stationary processes. There is a rich literature on extreme value theory that goes back to the 1920s. Recent introductory books for the univariate case on the subject are Coles (2001), which emphasizes statistical modelling, and Embrechts et al. (1997), which is a comprehensive reference for the theory and its applications to insurance and finance. Leadbetter et al. (1983) is mostly concerned with extremes of stationary processes. In this Chapter we review the basic background for univariate and multivariate extreme value theory for iid random variables, as well as the corresponding theory for stationary processes.

There is a rich literature on extreme value theory that goes back to the 1920’s. Recent introductory books on the subject are Coles (2001), which emphasizes statistical modeling,[...] Embrechts, Klüppelberg and Mikosch (1997) is a comprehensive reference for the theory and its applications to insurance and finance. [...] Leadbetter, Lindgren and Rootzén (1983) is mostly concerned with extremes of stationary processes.

Anmerkungen

The literature review is taken from the source, shortening it slightly.

Sichter
(Hindemith), KnallErbse

[2.] Rh/Fragment 136 16 - Diskussion
Zuletzt bearbeitet: 2012-07-31 15:51:46 WiseWoman
Fragment, Gesichtet, KomplettPlagiat, Morales 2005, Rh, SMWFragment, Schutzlevel sysop

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Untersuchte Arbeit:
Seite: 136, Zeilen: 16-18
Quelle: Morales_2005
Seite(n): 23, Zeilen: 18-20
The results of Smith and Weissman (1996) allow us to characterize the extremal behaviour of a multivariate stationary time series in terms of a limiting max-stable process. However, there has been little work on the statistical modelling of max-stable processes. The results of Smith and Weissman (1996) allow us to characterize the extremal behavior of a multivariate stationary time series in terms of a limiting max-stable process. However, there has been little work on the statistical modeling of max-stable processes.
Anmerkungen

No source given.

Sichter
(Hindemith), KnallErbse

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