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Copula Theory: An Introduction

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Copula Theory and Its Applications

Part of the book series: Lecture Notes in Statistics ((LNSP,volume 198))

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.

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Acknowledgements

First of all, we would like to express our gratitude to several Colleagues with whom through the years we had the pleasure to discuss ideas on copulas and their applications. Some of them have also received, and commented on, a first version of the present report. We thank them for their comments and suggestions: we feel that these have improved our presentation.

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Authors and Affiliations

  1. Department of Knowledge-Based Mathematical Systems, Johannes Kepler University, Linz, Austria

    Fabrizio Durante

  2. Dipartimento di Matematica “Ennio De Giorgi”, Università del Salento, Lecce, Italy

    Carlo Sempi

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  1. Fabrizio Durante
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Correspondence to Fabrizio Durante .

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Editors and Affiliations

  1. , Faculty of Mathematics Informatics, University of Warsaw, ul. Banacha 2, Warszawa, 02097, Poland

    Piotr Jaworski

  2. , Department of Knowledge-Based, Johannes Kepler Universität, Altenberger Straße 69, Linz, 4040, Austria

    Fabrizio Durante

  3. Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics a, Humboldt-Universität zu Berlin, Unter den Linden 6, Berlin, 10099, Germany

    Wolfgang Karl Härdle

  4. , Mathematical Institute, Polish Academy of Sciences, ul. Chopina 12, Toruń, 87100, Poland

    Tomasz Rychlik

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Durante, F., Sempi, C. (2010). Copula Theory: An Introduction. In: Jaworski, P., Durante, F., Härdle, W., Rychlik, T. (eds) Copula Theory and Its Applications. Lecture Notes in Statistics(), vol 198. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-12465-5_1

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