Bayesian estimation of generalized partition of unity copulas

DOI10.1515/DEMO-2020-0007zbMath1457.62159OpenAlexW2914071326MaRDI QIDQ828059

Andreas Masuhr, Mark Trede

Publication date: 14 January 2021

Published in: Dependence Modeling (Search for Journal in Brave)

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

zbMATH Keywords

copulasBayesian estimationpartition-of-unitycryptocurrencies

Mathematics Subject Classification ID

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

Cites Work

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• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• A Relationship Between Arbitrary Positive Matrices and Doubly Stochastic Matrices

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