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Editorial to the special issue on Copulae of Statistics & Risk Modeling
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Ostap Okhrin
Published/Copyright:
December 10, 2013
Abstract
Copulae became an extremely popular tool in different areas of research. Since the first applications in risk management in the late 90th, they attracted many other quantitatively oriented sciences like biostatistics, hydrology and finance. The main reason originates in the Sklar (1959) theorem, which allows for separation of the marginal distributions from the dependency structure between the random variables.
This editorial is organized as follows. In the first section we define the copulae and state the Sklar theorem. Some literature suggestions are given in the second section. The last section presents the content of this special issue.
Keywords: Copula; multivariate distribution
Published Online: 2013-12-10
Published in Print: 2013-12-1
© 2013 by Walter de Gruyter Berlin Boston
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- What makes dependence modeling challenging? Pitfalls and ways to circumvent them
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Articles in the same Issue
- Masthead
- Masthead
- Editorial
- Editorial to the special issue on Copulae of Statistics & Risk Modeling
- What makes dependence modeling challenging? Pitfalls and ways to circumvent them
- Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
- Bernstein estimator for unbounded copula densities
- Dynamic structured copula models
