New copulas based on general partitions-of-unity and their applications to risk management (part II)
Dietmar Pfeifer ; Andreas Mändle ; Olena Ragulina
Dependence Modeling, Tome 5 (2017), p. 246-255 / Harvested from The Polish Digital Mathematics Library

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.

Publié le : 2017-01-01
EUDML-ID : urn:eudml:doc:288578
@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/