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COPULA

Copula can be defined as a kind of distribution function where the copulas are used to describe dependent and independent variable between the random variables. They are named for their similarity to grammatical copula in linguistics.

The cumulative distribution function for in terms of the marginal cumulative distribution function, as well as a copula and the marginal distribution functions for a random vector, describes the marginal distribution of each component of the random vector and the copula that is used to describe the dependence structure between the components.

Applications of Copula

Copulas are popular in statistical applications as they allow to easily model as well as estimate the distribution of random vectors by estimating marginal distribution as well as copula separately. There are numerous parametric copula families available which usually have parameters that control the strength of dependence and some of the popular parametric copula models are as follows

In Probability theory terms, dimensional copula if C is a joint cumulative distribution function of the d dimensional random vector on the unit cube. This is with a uniform distribution that is continuous and with marginal distribution.

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In multivariable calculus, terms is a d dimensional copula if and only if, then the copula is zero. This is the case when one of the arguments is zero.

, then the copula is equal to u. This is the case if one argument is u and all others 1.

C is N-increasing that is for each hyper-rectangle C volume of B; is non-negative and it is represented as follows

where the.

For instance, in the bivariate case, it is represented as follows:

Is defined as a bivariate copula if, and for all.

The families of copula includes the

Gaussian copula in which the Gaussian copula is a distribution over the unit cube as it is constructed from a multivariate normal distribution over by using the Probability integral transform.

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Archimedean copulas can be defined as an associative class of copulas, where the most common Archimedean copulas admit an explicit formula for the C, which is not possible for the Gaussian copula instance. Archimedean copulas are popular because they allow modeling dependence in arbitrarily high dimensions with only one parameter as well as governing the strength of dependence.

Empirical copula is defined as follows