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

Dietmar Pfeifer, Andreas Mändle, Olena Ragulina
2017 Dependence Modeling  
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.
doi:10.1515/demo-2017-0014 fatcat:25lee4gcwfg5zdfq4fydvxbh4i