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Clayton Copula
The resultant pattern of a scatter plot of data that helps to provide insight into the correlation (relationships) between different variables in a bi-variate or multi-variate matrix analysis. That is, the intersection of two or more probability distributions or other types of distributions.

The Clayton Copula is one of five primary types of copulas identified in the statistical sciences.



Applications
Within asset management, the Clayton copulas can be applied to the analysis of the following multivariate matrices:


Attributes
Clayton copulas have the following general attributes:
  • Heavy concentration/density in the left tail.
  • An expanding cloud.
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Fig. The five primary types of copulas.


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Fig. A Clayton copula with its distinctive tail and expanding cloud.

See also:
  • Statistics
Compare with:



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