Abstract
Copulas are a popular method for modeling multivariate distributions. A copula models the dependence|and only the dependence|between the variates in a multivariate distribution and can be combined with any set of univariate distributions for the marginal distributions. Consequently, the use of copulas allows us to take advantage of the wide variety of univariate models that are available.
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© 2011 Springer Science+Business Media, LLC
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Ruppert, D. (2011). Copulas. In: Statistics and Data Analysis for Financial Engineering. Springer Texts in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-7787-8_8
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DOI: https://doi.org/10.1007/978-1-4419-7787-8_8
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