Linear correlation is only an adequate means of describing the dependence between two random variables when they are … correlation coefficient becomes just one of many possible ways of summarising the dependence structure between the variables. In … decomposed into its n marginal distributions, and a copula, which completely describes the dependence between the n variables. We …

results highlight the dependence on the employed kernel, whether or not the taper is nonzero at the boundary, and most …

The theory of conditional copulas provides a means of constructing flexible multivariate density models, allowing for … time varying conditional densities of each individual variable, and for time-varying conditional dependence between the … variables. Further, the use of copulas in constructing these models often allows for the partitioning of the parameter vector …