New copulas based on general partitions-of-unity and their applications to risk management (part II)
Risk Management
2020-12-17 v2
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.
Cite
@article{arxiv.1709.07682,
title = {New copulas based on general partitions-of-unity and their applications to risk management (part II)},
author = {Dietmar Pfeifer and Andreas Mändle and Olena Ragulina},
journal= {arXiv preprint arXiv:1709.07682},
year = {2020}
}
Comments
12 pages, 24 figures, 3 tables, 10 references