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Results tagged with copula
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user 77072
A copula is a multivariate distribution with uniform marginal distributions. Copulas are mostly used to represent or to model the structure of dependence between random variables, separately from the marginal distributions.
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simulation vine copulas
I am trying to simulate the following structure:
$C_{123}(C_{12}(u_1, u_2; \theta_1), u_3; \theta_2)$
I am able to simulate the inner $C_{12}$, I do simply use the method of the conditional copulas. …