Dependence Information in Parameterized Copulas
- 1 January 1990
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Simulation and Computation
- Vol. 19 (4) , 1339-1360
- https://doi.org/10.1080/03610919008812920
Abstract
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.Keywords
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