Copula Theory : an Introduction

  title={Copula Theory : an Introduction},
  author={Fabrizio Durante and Carlo Sempi},
In this survey we review the most important properties of copulas, several families of copulas that have appeared in the literature, and which have been applied in various fields, and several methods of constructing multivariate copulas. This version: September 14, 2009 1 Historical introduction The history of copulas may be said to begin with Fréchet [69]. He studied the following problem, which is stated here in dimension 2: given the distribution functions F1 and F2 of two random variables… CONTINUE READING