Modifying copulas for improved dependence modelling

Le Roux, Colette; De Waal, Alta

dc.contributor.author	Le Roux, Colette
dc.contributor.author	De Waal, Alta
dc.date.accessioned	2020-05-15T07:56:46Z
dc.date.available	2020-05-15T07:56:46Z
dc.date.issued	2019
dc.description.abstract	In 2007 and 2008, underestimation of correlations and risks, as well as the misuse of dependence models, lead to the financial crisis. This highlighted the need to improve dependence modelling through both the correlation parameter and choice of model used. Copulas are useful for modelling dependence patterns in multivariate data, as well as prediction in regression analysis.	en_ZA
dc.description.department	Statistics	en_ZA
dc.description.librarian	am2020	en_ZA
dc.description.uri	http://sherpa.ac.uk/romeo/issn/1613-0073/	en_ZA
dc.description.uri	http://ceur-ws.org	en_ZA
dc.identifier.citation	Le Roux, C. & De Waal, A. 2019, 'Modifying copulas for improved dependence modelling', CEUR Workshop Proceedings, vol. 2540, pp. 1-3.	en_ZA
dc.identifier.issn	1613-0073
dc.identifier.uri	http://hdl.handle.net/2263/74597
dc.language.iso	en	en_ZA
dc.publisher	CEUR Workshop Proceedings	en_ZA
dc.rights	© 2019 for this paper by its authors. Use permitted under Creative Commons License Attribution 4.0 International (CC BY 4.0).	en_ZA
dc.subject	Copula	en_ZA
dc.subject	Copula processes	en_ZA
dc.subject	Gaussian processes	en_ZA
dc.subject	Vine copulas	en_ZA
dc.subject	Bayesian methods	en_ZA
dc.title	Modifying copulas for improved dependence modelling	en_ZA
dc.type	Article	en_ZA