Abstract:Copula-based models provide a great deal of flexibility in modelling multivariate distributions, allowing for the specifications of models for the marginal distributions separately from the dependence structure (copula) that links them to form a joint distribution. Choosing a class of copula models is not a trivial task and its misspecification can lead to wrong conclusions.We introduce a novel class of grid-uniform copula functions, which is dense in the space of all continuous copula functions in a Hellinger… Show more
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