Bayesian estimation of generalized partition of unity copulas

DOI10.1515/DEMO-2020-0007zbMATH Open1457.62159OpenAlexW2914071326MaRDI QIDQ828059FDOQ828059

Authors: 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

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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)

Cites Work

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• Vines -- a new graphical model for dependent random variables.
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• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• New copulas based on general partitions-of-unity and their applications to risk management
• An order-statistics-based method for constructing multivariate distributions with fixed margin\-als
• Bayesian estimation of a bivariate copula using the Jeffreys prior
• Gibbs/Metropolis algorithms on a convex polytope
• Tailored randomized block MCMC methods with application to DSGE models
• EM algorithms for estimating the Bernstein copula
• 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

Cited In (2)

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

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