Copulas: a NAG Library Spotlight for quant analytics and quant development
Copulas: a NAG Library Spotlight for quant analytics and quant development In statistics, a copula can be thought of as defining the correlation structure for a family of multivariate distributions. Each distribution in the family is constructed by “gluing” together two or more univariate distributions, with the copula supplying the “glue”. Copulas can be applied …
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