Copulas are useful devices to explain the dependence structure between variables by eliminating the influence of marginals. In this paper we develop a formula for better understanding of the dependence mechanism hidden in copulas and discuss some approximations on copulas. We explore the copula of multivariate normal distribution in detail and try to reveal interesting features of the class.
|Original language||English (US)|
|Number of pages||22|
|Journal||Communications in Statistics - Simulation and Computation|
|State||Published - Jan 1 1990|
- approximate copulas
- multivariate normal distribution