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

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  • Philipp Arbenz

    (ETH Zurich)

Abstract

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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  • Philipp Arbenz, 2013. "Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 105-108, March.
    • Handle: RePEc:spr:metcap:v:15:y:2013:i:1:d:10.1007_s11009-011-9224-0
    DOI: 10.1007/s11009-011-9224-0
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    References listed on IDEAS

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    1. Peter Xue‐Kun Song, 2000. "Multivariate Dispersion Models Generated From Gaussian Copula," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(2), pages 305-320, June.
    2. Luciana Dalla Valle, 2009. "Bayesian Copulae Distributions, with Application to Operational Risk Management," Methodology and Computing in Applied Probability, Springer, vol. 11(1), pages 95-115, March.
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    Cited by:

    1. Nadarajah, Saralees, 2015. "Expansions for bivariate copulas," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 77-84.
    2. Hou, Qingchun & Zhang, Ning & Du, Ershun & Miao, Miao & Peng, Fei & Kang, Chongqing, 2019. "Probabilistic duck curve in high PV penetration power system: Concept, modeling, and empirical analysis in China," Applied Energy, Elsevier, vol. 242(C), pages 205-215.
    3. Ebrahimi, Seyyed Reza & Rahimiyan, Morteza & Assili, Mohsen & Hajizadeh, Amin, 2022. "Home energy management under correlated uncertainties: A statistical analysis through Copula," Applied Energy, Elsevier, vol. 305(C).
    4. Anna Kalinina & Matteo Spada & David F. Vetsch & Stefano Marelli & Calvin Whealton & Peter Burgherr & Bruno Sudret, 2020. "Metamodeling for Uncertainty Quantification of a Flood Wave Model for Concrete Dam Breaks," Energies, MDPI, vol. 13(14), pages 1-25, July.

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