From Bernstein polynomials to Bernstein copulas

MaRDI QIDQ2966119zbMATH OpenFDO

Authors Claudia Cottin, Dietmar Pfeifer

Publication date 6 March 2017

zbMATH Keywords

Bernstein copulasBernstein polynomialschecker-board copulasconstruction of copulasrisk management applications

Mathematics Subject Classification ID

Approximation by polynomials (41A10) Multidimensional problems (41A63) Probability distributions: general theory (60E05) Approximations to statistical distributions (nonasymptotic) (62E17) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• Modeling and estimating multivariate dependence structures with the Bernstein copula
• Large sample behavior of the Bernstein copula estimator
• Composite Bernstein copulas
• The empirical beta copula

Cited in

(19)

• Uncertainty quantification for the family-wise error rate in multivariate copula models
• EM algorithms for estimating the Bernstein copula
• Remarks on composite Bernstein copula and its application to credit risk analysis
• New copulas based on general partitions-of-unity and their applications to risk management. II.
• Dependence properties of B-spline copulas
• Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
• Checkerboard copula defined by sums of random variables
• New copulas based on general partitions-of-unity. III: The continuous case
• Risk aggregation and capital allocation using a new generalized Archimedean copula
• New copulas based on general partitions-of-unity and their applications to risk management
• Multivariate multiple test procedures based on nonparametric copula estimation
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• The empirical beta copula
• Bernstein copulas and composite Bernstein copulas
• Shuffle of min's random variable approximations of bivariate copulas' realization
• scientific article; zbMATH DE number 7590016 (Why is no real title available?)
• Bernstein copula characteristic function
• Decomposition and graphical correspondence analysis of checkerboard copulas
• Estimating scale-invariant directed dependence of bivariate distributions

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