C. Genest, J. Nešlehová
2007.11.1Astin Bulletin-The Journal of the International Actuarial Association
tlooto Summary
The authors show how the possibility of ties that results from atoms in the probability distribution invalidates various familiar relations that lie at the root of copula theory in the continuous case.
Abstract
The authors review various facts about copulas linking discrete distributions. They show how the possibility of ties that results from atoms in the probability distribution invalidates various familiar relations that lie at the root of copula theory in the continuous case. They highlight some of the dangers and limitations of an undiscriminating transposition of modeling and inference practices from the continuous setting into the discrete one.
Citation format
GENEST, C.; NEŠLEHOVÁ, J. A primer on copulas for count data. Astin Bulletin-The Journal of the International Actuarial Association, 2007, 37: 475–515.