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An Introduction To Copulas - Nelsen.pdf
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The standard reference for an introduction to copulas.
Great Prices on Books, Art and Ephemera. A copula is a function which joins (or couples) a bivariate distribution function to its marginal (one-dimensional) distribution functions.
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2 Some Copulas Denition 2.1 (Bivariate Independent Copula). The Bivariate Inde-pendent Copula C(u 1,u 2) = u 1u 2 (2) The next example is from p25 of Embrechts, Linkskog and McNeil [1] 3.. For a comprehensive introduction to copulas, see Nelsen (2006). Recently, copulas are widely used for valuing risks in insurance and nance (Cherubini et al., 2004). d5d9c27ca9
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