A compendium of copulas. (English) Zbl 1473.62164
Summary: Copulas are used to specify dependence between two or more random variables. The last few years have seen a surge of developments of parametric models for copulas. Here, we provide an up-to-date and a comprehensive review of known parametric copulas as well as applications and open problems. This review is believed to be the first of its kind.
MSC:
| 62H05 | Characterization and structure theory for multivariate probability distributions; copulas |
Keywords:
bivariate distributions; dependence; independence; multivariate distributions; trivariate distributionsReferences:
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