A primer on copulas for count data

被引:294
作者
Genest, Christian [1 ]
Neslehova, Johanna [2 ]
机构
[1] Univ Laval, Dept Math & Stat, Quebec City, PQ G1V 0A6, Canada
[2] ETH, Dept Math, CH-8092 Zurich, Switzerland
来源
ASTIN BULLETIN | 2007年 / 37卷 / 02期
关键词
Bernoulli distribution; copulas; count data; discrete distribution; geometric distribution; Kendall's tau; Poisson distribution; Spearman's rho; subcopula;
D O I
10.2143/AST.37.2.2024077
中图分类号
F [经济];
学科分类号
02 ;
摘要
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.
引用
收藏
页码:475 / 515
页数:41
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