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...

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Vydáno v:Methodology and computing in applied probability Ročník 15; číslo 1; s. 105 - 108
Hlavní autor: Arbenz, Philipp
Médium: Journal Article
Jazyk:angličtina
Vydáno: Boston Springer US 01.03.2013
Springer Nature B.V
Témata:
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
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Shrnutí: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.
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ISSN:1387-5841
1573-7713
DOI:10.1007/s11009-011-9224-0