Abstract

ESCARELA, GABRIEL  and  HERNANDEZ, ANGÉLICA. Modelling Random Couples Using Copulas. Rev.Colomb.Estad. [online]. 2009, vol.32, n.1, pp.33-58. ISSN 0120-1751.

Copulas have become a useful tool for the multivariate modelling in both stochastics and statistics. In this article, fundamental properties that allow the characterization of the dependence structure of families of the bivariate distributions defined by the copula are reviewed. Also, the importance of both the Gaussian copula and the Archimedean family is emphasized while some classes of copulas are described. The usefulness for modelling either discrete or continuous random couples is highlighted. The construction of first-order Markov regression models for non-Gaussian responses illustrates the application of the copula.

Keywords : Dependence; Copula; Measure of association; Appliedstatistics; Kendall τ; Spearman ρ; Serial correlation.

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