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Copula

A function that joins univariate distribution functions to form multivariate distribution functions. A two-dimensional copula is a function C:I^2->I such that

C(0,t)=C(t,0)=0
(1)

and

C(1,t)=C(t,1)=t
(2)

for all t in I, and

C(u_2,v_2)-C(u_1,v_2)-C(u_2,v_1)+C(u_1,v_1)>=0
(3)

for all u_1,u_2,v_1,v_2 in I such that u_1<=u_2 and v_1<=v_2.

See also

Sklar's Theorem

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Cite this as:

Weisstein, Eric W. "Copula." From MathWorld--A Wolfram Web Resource. https://mathworld.wolfram.com/Copula.html

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