Copulas and Copula Models

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; Frechet--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

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