Abstract
Copula models have become very popular and well studied among the scientific community.[...]
Highlights
Copula models have become very popular and well studied among the scientific community
Based on the famous Sklar’s theorem (Sklar 1959), copulas allow to put in place the fruitful idea of splitting the specification of a multivariate model into two parts: the marginal distributions on one side, the dependence structure on the other part
A renewed focus on semiparametric techniques has been fuelled because the underlying marginal distributions are often replaced by their empirical counterparts in copula models
Summary
Copula models have become very popular and well studied among the scientific community. Based on the famous Sklar’s theorem (Sklar 1959), copulas allow to put in place the fruitful idea of splitting the specification of a multivariate model into two parts: the marginal distributions on one side, the dependence structure (copula) on the other part. All families of multivariate models and their associated statistical techniques (inference, testing, simulation, etc) potentially have to be revisited under a copula point of view for theoretical and practical reasons.
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