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

被引：21
|
作者：
Arbenz, Philipp [1 ]
机构：
[1] Swiss Fed Inst Technol, Dept Math, RiskLab, CH-8092 Zurich, Switzerland
来源：
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2013年 / 15卷 / 01期
关键词：
Bayesian normal copula; Bayesian Student's t copula;
D O I：
10.1007/s11009-011-9224-0
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：105 / 108
页数：4
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