Standard Article

Copulas and Copula Models

Statistical Theory and Methods

  1. Christian Genest,
  2. Johanna Nešlehová

Published Online: 15 JAN 2013

DOI: 10.1002/9780470057339.vnn079

Encyclopedia of Environmetrics

Encyclopedia of Environmetrics

How to Cite

Genest, C. and Nešlehová, J. 2013. Copulas and Copula Models. Encyclopedia of Environmetrics. 2.

Author Information

  1. McGill University, Montréal, Québec, Canada

Publication History

  1. Published Online: 15 JAN 2013

Abstract

This entry introduces the notion of copula, reviews classical copula models, and describes their main properties. The entry also presents rank-based estimation procedures and goodness-of-fit tests for copula modeling.

Keywords:

  • Archimedean;
  • dependence concept;
  • empirical copula;
  • comonotonicity;
  • extreme-value;
  • Fréchet--Hoeffding bounds;
  • goodness-of-fit test;
  • Kendall distribution;
  • Kendall's tau;
  • meta-elliptical;
  • moment-based estimator;
  • pair-copula;
  • pseudo-likelihood;
  • pseudo-observations;
  • probability integral transform;
  • rank-based inference;
  • Sklar's representation;
  • Spearman's rho;
  • stochastic ordering;
  • tail dependence coefficient;
  • vine