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arXiv 1709.07682q-fin.RM
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基于广义单位分割的新Copula及其在风险管理中的应用(II部分)

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

Dietmar Pfeifer, Andreas Mändle, Olena Ragulina

摘要:

我们提出了一个建设性的和自包含的方法,最近在文献中介绍的数据驱动的无限分割的单位copula。特别是,我们考虑负二项和泊松Copula,并提出了一个解决方案的问题,这样的Copula拟合高度不对称的数据在任意尺寸。

英文摘要:

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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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