Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments

This paper points out mistakes in some results given in the paper “ Bayesian Copulae Distributions, with Application to Operational Risk Management ” by Luciana Dalla Valle, published in 2009 in volume 11, number 1 of “Methodology and Computing in Applied Probability”. In particular, we explain why...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Methodology and computing in applied probability Jg. 15; H. 1; S. 105 - 108
1. Verfasser: Arbenz, Philipp
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Boston Springer US 01.03.2013
Springer Nature B.V
Schlagworte:
Applied mathematics
Bayesian analysis
Business and Management
Computation
Conjugates
Economics
Electrical Engineering
Gaussian
Inverse
Life Sciences
Mathematics and Statistics
Methodology
Probability
Risk
Risk management
Statistics
Studies
Bayesian normal copula
62C10
62F15
Bayesian Student’s t copula
ISSN:1387-5841, 1573-7713
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:This paper points out mistakes in some results given in the paper “ Bayesian Copulae Distributions, with Application to Operational Risk Management ” by Luciana Dalla Valle, published in 2009 in volume 11, number 1 of “Methodology and Computing in Applied Probability”. In particular, we explain why the inverse Wishart distribution is not a conjugate prior to the Gaussian copula.
Bibliographie:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ObjectType-Article-2
ObjectType-Feature-1
content type line 23
ISSN:1387-5841
1573-7713
DOI:10.1007/s11009-011-9224-0