Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments
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DOI: 10.1007/s11009-011-9224-0
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References listed on IDEAS
- 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.
- 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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- Nadarajah, Saralees, 2015. "Expansions for bivariate copulas," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 77-84.
- 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.
- 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).
- Khaledi-Alamdari, Mohammad & Majnooni-Heris, Abolfazl & Fakheri-Fard, Ahmad & Russo, Ana, 2023. "Probabilistic climate risk assessment in rainfed wheat yield: Copula approach using water requirement satisfaction index," Agricultural Water Management, Elsevier, vol. 289(C).
- 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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Keywords
Bayesian normal copula; Bayesian Student’s t copula;Statistics
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