The Joy of Copulas: Bivariate Distributions with Uniform Marginals |
| |
Authors: | Christian Genest Jock Mackay |
| |
Institution: | Department of Statistics and Actuarial Science , University of Waterloo , Waterloo , Ontario , Canada , N2L 3G1 |
| |
Abstract: | We describe a class of bivariate distributions whose marginals are uniform on the unit interval. Such distributions are often called “copulas.” The particular copulas we present are especially well suited for use in undergraduate mathematical statistics courses, as many of their basic properties can be derived using elementary calculus. In particular, we show how these copulas can be used to illustrate the existence of distributions with singular components and to give a geometric interpretation to Kendall's tau. |
| |
Keywords: | Archimedean copulas Fixed marginals Fréchet bounds Kendall's tau Singular distributions |
|
|