Bayesian estimation of generalized partition of unity copulas

DOI10.1515/DEMO-2020-0007MaRDI QIDQ828059zbMATH OpenOpenAlexFDO

Authors Andreas Masuhr, Mark Trede

Publication date 14 January 2021

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2020-0007

zbMATH Keywords

copulasBayesian estimationpartition-of-unitycryptocurrencies

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Risk models (general) (91B05)

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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• A Relationship Between Arbitrary Positive Matrices and Doubly Stochastic Matrices
• An order-statistics-based method for constructing multivariate distributions with fixed margin\-als
• Bayesian estimation of a bivariate copula using the Jeffreys prior
• EM algorithms for estimating the Bernstein copula
• Gibbs/Metropolis algorithms on a convex polytope
• Hierarchies of Archimedean copulas
• New copulas based on general partitions-of-unity and their applications to risk management
• New copulas based on general partitions-of-unity and their applications to risk management. II.
• New copulas based on general partitions-of-unity. III: The continuous case
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• Tailored randomized block MCMC methods with application to DSGE models
• Vines -- a new graphical model for dependent random variables.

Cited in

(2)

• Decomposition and graphical correspondence analysis of checkerboard copulas
• Bayesian Estimation for Bivariate Gamma Processes with Copula

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