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

@article{Arbenz2013BayesianCD,
  title={Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments},
  author={Philipp Arbenz},
  journal={Methodology and Computing in Applied Probability},
  year={2013},
  volume={15},
  pages={105-108}
}
  • Philipp Arbenz
  • Published 2013
  • Mathematics
  • Methodology and Computing in Applied Probability
  • 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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