Copulas: A Review and Recent Developments

Nikolai Kolev; Ulisses dos Anjos; Beatriz Vaz de Melo Mendes

doi:10.1080/15326340600878206

September 12, 2006Stochastic Models

Copulas: A Review and Recent Developments

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Key Points

To review foundational advances in copula theory and present new theoretical formulations for characterizing complex multivariate dependencies.
Synthesized developments across statistical dependence structures and copula representations.
Introduced mathematical formulations for order statistics copulas and copulas with prespecified multivariate marginals.
Derived dependence representations using localized association measures and extreme value copula frameworks.
Established theoretical frameworks for order statistics copulas to model ordered joint behaviors.
Formulated copula representations using local dependence measures to describe complex associations across arbitrary multivariate marginals.
Extended practical modeling capabilities for extreme tail dependencies using extreme value copulas.

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Abstract

In this review paper we outline some recent contributions to copula theory. Several new author's investigations are presented briefly, namely: order statistics copula, copulas with given multivariate marginals, copula representation via a local dependence measure and applications of extreme value copulas.

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synapsesocial.com/papers/6a943c7e513f57a3b06d1ed0 https://doi.org/10.1080/15326340600878206

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Copulas: A Review and Recent Developments

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Copulas: A Review and Recent Developments

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