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Copulas

  • Marius Hofert
  • Ivan Kojadinovic
  • Martin Mächler
  • Jun Yan
Chapter
Part of the Use R! book series (USE R)

Abstract

This chapter offers a basic introduction to copulas and presents their main properties along with the most important theoretical results such as the Fréchet-Hoeffding bounds, Sklar’s Theorem, and the invariance principle.

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  • Marius Hofert
    • 1
  • Ivan Kojadinovic
    • 2
  • Martin Mächler
    • 3
  • Jun Yan
    • 4
  1. 1.Department of Statistics and Actuarial ScienceUniversity of WaterlooWaterlooCanada
  2. 2.Laboratory of Mathematics and its ApplicationsUniversity of Pau and Pays de l’AdourPauFrance
  3. 3.Seminar for StatisticsETH ZurichZurichSwitzerland
  4. 4.Department of StatisticsUniversity of ConnecticutStorrsUSA

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