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.
@article{bwmeta1.element.doi-10_1515_demo-2017-0014,
author = {Dietmar Pfeifer and Andreas M\"andle and Olena Ragulina},
title = {New copulas based on general partitions-of-unity and their applications to risk management (part II)},
journal = {Dependence Modeling},
volume = {5},
year = {2017},
pages = {246-255},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2017-0014}
}
Dietmar Pfeifer; Andreas Mändle; Olena Ragulina. New copulas based on general partitions-of-unity and their applications to risk management (part II). Dependence Modeling, Tome 5 (2017) pp. 246-255. http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2017-0014/