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Copula Theory and Its Applications

Volume 198 of the series Lecture Notes in Statistics pp 3-31

Date:

Copula Theory: An Introduction

  • Fabrizio DuranteAffiliated withDepartment of Knowledge-Based Mathematical Systems, Johannes Kepler University Email author 
  • , Carlo SempiAffiliated withDipartimento di Matematica “Ennio De Giorgi”, Università del Salento

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Abstract

In this survey we review the most important properties of copulas, several families of copulas that have appeared in the literature, and which have been applied in various fields, and several methods of constructing multivariate copulas.