Copula Functions

The word copula is a Latin noun that means a link and is used in grammar to describe the part of a proposition that connects the subject and predicate. Abe Sklar in 1959 was the first to introduce the word copula in a mathematical or statistical sense in a theorem describing the functions that join together one-dimensional distribution functions to form multivariate distribution functions. He called this class of functions copulas. In statistics, a copula is a function that links an n-dimensional cumulative distribution function to its one-dimensional margins and is itself a continuous distribution function characterizing the dependence structure of the model.

Recently, in multivariate modeling, much attention has been paid to copulas or copula functions. It can be shown that outside the elliptical ...

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