|edoc-Server der Humboldt-Universität zu Berlin|
Michal Kaut, Molde University College|
Stein W. Wallace, Molde University College
|Title:||Shape-based Scenario Generation using Copulas|
|Date of Acceptance:||07.12.2006|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|The purpose of this article is to show how the multivariate structure (the ”shape” of the distribution) can be separated from the marginal distributions when generating scenarios. To do this we use the copula. As a result, we can define combined approaches that capture shape with one method and handle margins with another. In some cases the combined approach is exact, in other cases, the result is an approximation. This new approach is particularly useful if the shape is somewhat peculiar, and substantially different from the standard normal elliptic shape. But it can also be used to obtain the shape of the normal but with margins from different distribution families, or normal margins with for example tail dependence in the multivariate structure. We provide an example from portfolio management.|
These data concerning access statistics for individual documents
have been compiled using the webserver log files aggregated by AWSTATS.
They refer to a monthly access count to the full text documents as well as to the entry page.
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Gesamtzahl der Zugriffe seit Jul 2011: