New copulas based on general partitions-of-unity and their applications to risk management (part II)
Abstract: 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.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Bibliographic citation
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New copulas based on general partitions-of-unity and their applications to risk management (part II) ; volume:5 ; number:1 ; year:2017 ; pages:246-255 ; extent:10
Dependence modeling ; 5, Heft 1 (2017), 246-255 (gesamt 10)
- Creator
- DOI
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10.1515/demo-2017-0014
- URN
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urn:nbn:de:101:1-2411181552363.172658157857
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:22 AM CEST
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Associated
- Pfeifer, Dietmar
- Mändle, Andreas
- Ragulina, Olena
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