prikaz prve stranice dokumenta Statistical analysis of the tail behaviour of dependent sequences
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doctoral thesis
Statistical analysis of the tail behaviour of dependent sequences
Zagreb: University of Zagreb, Faculty of Science, 2022. urn:nbn:hr:217:640209
Brborović, Darko
University of Zagreb
Faculty of Science
Department of Mathematics

Institutional repository: Repository of the Faculty of Science

Cite this document

Brborović, D. (2022). Statistical analysis of the tail behaviour of dependent sequences (Doctoral thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:640209

Brborović, Darko. "Statistical analysis of the tail behaviour of dependent sequences." Doctoral thesis, University of Zagreb, Faculty of Science, 2022. https://urn.nsk.hr/urn:nbn:hr:217:640209

Brborović, Darko. "Statistical analysis of the tail behaviour of dependent sequences." Doctoral thesis, University of Zagreb, Faculty of Science, 2022. https://urn.nsk.hr/urn:nbn:hr:217:640209

Brborović, D. (2022). 'Statistical analysis of the tail behaviour of dependent sequences', Doctoral thesis, University of Zagreb, Faculty of Science, accessed 22 July 2024, https://urn.nsk.hr/urn:nbn:hr:217:640209

Brborović D. Statistical analysis of the tail behaviour of dependent sequences [Doctoral thesis]. Zagreb: University of Zagreb, Faculty of Science; 2022 [cited 2024 July 22] Available at: https://urn.nsk.hr/urn:nbn:hr:217:640209

D. Brborović, "Statistical analysis of the tail behaviour of dependent sequences", Doctoral thesis, University of Zagreb, Faculty of Science, Zagreb, 2022. Available at: https://urn.nsk.hr/urn:nbn:hr:217:640209

Metadata
TitleStatistical analysis of the tail behaviour of dependent sequences
Title (croatian)Statistička analiza repnog ponašanja zavisnih nizova
AuthorDarko Brborović
MentorBojan Basrak (mentor)
Committee memberMiljenko Huzak (predsjednik povjerenstva)
Committee memberHrvoje Planinić (član povjerenstva)
Committee memberAzra Tafro (član povjerenstva)
Committee memberBojan Basrak (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Mathematics)
Zagreb
Defense date and country2022-12-07, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Universal decimal classification
(UDC)		51 - Mathematics
Abstract
In this thesis we analyse the tail behaviour of bivariate random sequences, including the stationary \(M\)-dependent sequences, \(M \in \mathbb{N}\). Statistical analysis of the asymptotic tail behaviour of random sequences is often done within the theory of point processes. However, if a larger number of tail events is available it is possible to obtain convergence results towards normal distribution, which we do in this thesis. Motivated by the recent results of DiCiccio and Romano [8] on permutation tests for correlation between random variables, we present and analyse the permutation test of tail dependence for independent and identically distributed bivariate random vectors. Additionally, we present the permutation test of independence for stationary \(M\)-dependent random sequences.
Abstract (croatian)
U ovom radu predstavljamo analizu repnog ponašanja slučajnih nizova dvodimenzionalnih vektora, što uključuje i slučaj stacionarnih \(M\)-zavisnih nizova, \(M \in \mathbb{N}\). Često se asimptotska analiza repnog ponašanja slučajnih nizova obavlja u okviru teorije točkovnih procesa. Ipak, ukoliko je dostupan veći broj repnih događaja moguće je postići konvergenciju prema normalnoj distribuciji, kao što je to slučaj u ovom radu. Motivirani relativno novim rezultatima o permutacijskim testovima za korelaciju između dvije slučajne varijable, objavljenima u DiCiccio and Romano [8], u ovom radu predstavljamo i analiziramo test repne zavisnosti za nezavisne i jednako distribuirane dvodimenzionalne slučajne vektore. Dodatno, predstavljamo i permutacijski test nezavisnosti za stacionarne \(M\)-zavisne slučajne nizove.
Keywords
Keywords (croatian)
Languageenglish
URN:NBNurn:nbn:hr:217:640209
Study programmeTitle: Mathematics
Study programme type: university
Study level: postgraduate
Academic / professional title: doktor/doktorica znanosti, područje prirodnih znanosti, polje matematika (doktor/doktorica znanosti, područje prirodnih znanosti, polje matematika)
Type of resourceText
Extentv, 110 str.
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2023-03-01 12:09:47