ANALYSIS OF KERNEL-BASED COPULA PROCESSES MODEL AND ITS APPLICATIONS

ANALYSIS OF KERNEL-BASED COPULA PROCESSES MODEL AND ITS APPLICATIONS

Prediction of time series data is an effort to determine the value of the data in the future by using historical data. The results of this prediction is very useful both in financial data or non - financial data. Distribution function prediction can be obtained using Bayesian concept of joint dis...

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Main Author: Shabrina, Ayu
Format: Theses
Language:Indonesia
Subjects:
Matematika
Online Access:https://digilib.itb.ac.id/gdl/view/33880
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:33880
spelling id-itb.:338802019-01-30T15:49:56ZANALYSIS OF KERNEL-BASED COPULA PROCESSES MODEL AND ITS APPLICATIONS Shabrina, Ayu Matematika Indonesia Theses Kernel-based Copula Processes, kernel, copula Elliptical, univariate prediction, multivariate prediction. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/33880 Prediction of time series data is an effort to determine the value of the data in the future by using historical data. The results of this prediction is very useful both in financial data or non - financial data. Distribution function prediction can be obtained using Bayesian concept of joint distribution function. Construction of joint distribution function from some specific distributed random variables is certainly not easy to do. So we propose to use Copula function to build the joint distribution function. Kernel - based Copula Processes (KCP) is a process that uses the kernel as component parameter of copula Elliptical. This kernel acts as a value of the correlation or dependence of data that has certain characteristics. This thesis studied further about KCP models to determine the distribution of predictions using univariate and multivariate analysis. The distribution of predictions can be used to predict the time series data for the next period of time. text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
topic Matematika
spellingShingle Matematika
Shabrina, Ayu
ANALYSIS OF KERNEL-BASED COPULA PROCESSES MODEL AND ITS APPLICATIONS
description Prediction of time series data is an effort to determine the value of the data in the future by using historical data. The results of this prediction is very useful both in financial data or non - financial data. Distribution function prediction can be obtained using Bayesian concept of joint distribution function. Construction of joint distribution function from some specific distributed random variables is certainly not easy to do. So we propose to use Copula function to build the joint distribution function. Kernel - based Copula Processes (KCP) is a process that uses the kernel as component parameter of copula Elliptical. This kernel acts as a value of the correlation or dependence of data that has certain characteristics. This thesis studied further about KCP models to determine the distribution of predictions using univariate and multivariate analysis. The distribution of predictions can be used to predict the time series data for the next period of time.
format Theses
author Shabrina, Ayu
author_facet Shabrina, Ayu
author_sort Shabrina, Ayu
title ANALYSIS OF KERNEL-BASED COPULA PROCESSES MODEL AND ITS APPLICATIONS
title_short ANALYSIS OF KERNEL-BASED COPULA PROCESSES MODEL AND ITS APPLICATIONS
title_full ANALYSIS OF KERNEL-BASED COPULA PROCESSES MODEL AND ITS APPLICATIONS
title_fullStr ANALYSIS OF KERNEL-BASED COPULA PROCESSES MODEL AND ITS APPLICATIONS
title_full_unstemmed ANALYSIS OF KERNEL-BASED COPULA PROCESSES MODEL AND ITS APPLICATIONS
title_sort analysis of kernel-based copula processes model and its applications
url https://digilib.itb.ac.id/gdl/view/33880
_version_ 1821996621352665088

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