New copulas based on general partitions-of-unity and their applications to risk management (part II)

• Autorzy: Dietmar Pfeifer , Andreas Mändle , Olena Ragulina
• Języki publikacji: EN

Abstrakty

EN

We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature. In particular, we consider negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data in arbitrary dimensions.

Słowa kluczowe

EN

copulas; partition-of-unity; tail dependence; asymmetry

Kategorie tematyczne

• 62H17: Contingency tables
• 62H12: Estimation
• 62H05: Characterization and structure theory
• 62H20: Measures of association (correlation, canonical correlation, etc.)

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2017
• Tom: 5
• Numer: 1
• Strony: 246-255

Daty

wydano

2017-10-26

otrzymano

2017-03-16

zaakceptowano

2017-10-11

online

2017-11-07

Twórcy

autor

Dietmar Pfeifer

• ,

autor

Andreas Mändle

• ,

autor

Olena Ragulina

• ,

Identyfikatory

DOI

10.1515/demo-2017-0014