What is ker copula distribution?

What is a copula in statistics?

  • The copula is a probability model that represents a multivariate uniform distribution, which examines the association or dependence between many variables. Although the statistical calculation of a copula was developed in 1959, it was not applied to financial markets and finance until the late 1990s. 1 

How do you find the probability density function of a copula distribution?

  • For a general copula distribution CopulaDistribution [ ker, { dist 1, dist 2, …, dist n }], the probability density function (PDF) of Y j = TransformedDistribution [ F j [ x], x  dist j] is equivalent to UniformDistribution [] whenever F j [ x] is the CDF of dist j.

Does the copula work with non normal distributions?

  • However, correlation works best with normal distributions, while distributions in financial markets are often non-normal in nature. The copula, therefore, has been applied to areas of finance such as option pricing and portfolio value-at-risk to deal with skewed or asymmetric distributions.

image-What is ker copula distribution?
image-What is ker copula distribution?
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