New copulas based on general partitions-of-unity and their applications to risk management (part II)
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 asymmetri...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2017-10-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2017-0014 |
| Summary: | 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. |
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| ISSN: | 2300-2298 |