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A Primer on Copulas for Count Data

Published online by Cambridge University Press:  17 April 2015

Christian Genest  and
Johanna Nešlehová
Christian Genest
Affiliation:
Département de mathématiques et de statistique, Université Laval, 1045, avenue de la Médecine Québec, Canada, G1V 0A6
Johanna Nešlehová
Affiliation:
Department of Mathematics, ETH Zurich, CH-8092 Zurich, Switzerland
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Abstract

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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.

Keywords

Bernoulli distributionCopulasCount dataDiscrete distributionGeometric distributionKendall’s tauPoisson distributionSpearman’s ρSubcopula
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 37 , Issue 2 , November 2007 , pp. 475 - 515
Copyright
Copyright © ASTIN Bulletin 2007

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