New copulas based on general partitions-of-unity and their applications to risk management (part II)

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.

12 pages, 24 figures, 3 tables, 10 references

References in corpus (1)

• New copulas based on general partitions-of-unity and their applications to risk management

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