Copula function theory and classification
Yueguang Hu, Zhigang Zhang · 2017
copula" comes from Latin "copulare", meaning "together", and connecting to the one-dimensional marginal distribution.Copula function is the multivariate distribution function on [0,1], is also a usual method of measuring multivariate extreme value theory dependent function.According to the statistics, the copula theory can be traced back to the multivariate non-Gauss distribution in twentieth Century.Later In 1959, Professor Sklar has proposed the copula function, he believes that a joint distribution is too complex, and it can be decomposed into k marginal distribution, also, The copula function is not affected by the edge distribution，The copula function describes the correlation structure between variables and studies the correlation between variables, if the edge function is continuous, then the copula function is the only sure.