Jezik: | Slovenski jezik |
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Leto izida: | 2019 |
Tipologija: | 2.11 - Diplomsko delo |
Organizacija: | UL EF - Ekonomska fakulteta |
Založnik: | [M. Gubanec Hančič] |
UDK: | 519.2 |
COBISS: | 18821721 |
Št. ogledov: | 1206 |
Št. prenosov: | 252 |
Ocena: | 0 (0 glasov) |
Metapodatki: |
Sekundarni jezik: | Angleški jezik |
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Sekundarni naslov: | Copulas in shock models |
Sekundarni povzetek: | We introduce copulas and their usage in shock models. The name copula derives from the latin word for 'link' or 'tie', which roughly describes their purpose. We define copulas and introduce them to the world of probability and distribution functions via the Sklar theorem. To get a clearer picture of what copulas are, we get to know some of the more famous copulas and see their visual representations in the form of spatial graphs, contour plots and scatterplots. We introduce copulas to shock models and show their usability via examples. Via shock models we introduce arrivals of shocks into systems. Based on the type and distribution of shock arrival times and number and types of components we distinguish different models. In this thesis we will get acquintanced with two-component systems, and based on effects and the distribution of shock arrival times we will define three different models. We define copulas for different shock models and through their application bind multiple univariate distribution functions into one distribution function of the system. |
Sekundarne ključne besede: | copulas;shock models;Marshall copula;maxmin copula;Marshall-Olkin copula;survival analysis;contour plots;scatterplots; |
Vrsta dela (COBISS): | Delo diplomskega seminarja/zaključno seminarsko delo/naloga |
Študijski program: | 0 |
Konec prepovedi (OpenAIRE): | 1970-01-01 |
Komentar na gradivo: | Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja |
Strani: | 33 str. |
ID: | 11228337 |