DocumentCode
3275668
Title
Copula functions as a tool in statistical modeling and simulation
Author
Kumar, Pranesh
Author_Institution
Math. Dept., Univ. of Northen British Columbia, Prince George, BC, Canada
fYear
2009
fDate
14-15 Dec. 2009
Firstpage
1
Lastpage
5
Abstract
Copulas are functions that join or couple multivariate distribution functions to their one dimensional marginal distribution functions. Alternatively, copulas are multivariate distribution functions whose one-dimensional margins are uniform on the interval (0,1). The appeal of copula function lies in the fact that it eliminates the implied reliance on the multivariate normal or the assumption that dimension are independent. Copula functions provide a convenient way to express joint distributions and simulate correlated variables. Several copulas with varying shapes are available providing flexibility in modelling. We discuss idea of copula functions in statistical modeling and simulation.
Keywords
data analysis; statistical analysis; statistical distributions; 1D marginal distribution function; copula function; multivariate distribution function; multivariate normal; statistical data analysis; statistical modeling; statistical simulation; Computational modeling; Computer science; Computer simulation; Data analysis; Distribution functions; Gaussian distribution; Mathematics; Random variables; Stochastic processes; Testing; Copulas; Dependence; Multivariate Distribution; Simulation;
fLanguage
English
Publisher
ieee
Conference_Titel
Methods and Models in Computer Science, 2009. ICM2CS 2009. Proceeding of International Conference on
Conference_Location
Delhi
Print_ISBN
978-1-4244-5051-0
Type
conf
DOI
10.1109/ICM2CS.2009.5397968
Filename
5397968
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