, Volume 15, Issue 1, pp 105-108
Date: 19 Apr 2011

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

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Abstract

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.