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|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.
Application of copulas
Copulas can be used in the following ways within the domain of asset management:
Elements of a Copula
Listed below are some of the key elements in identifying the type of copula:
Types of Copulas
Listed below are the five main types of copula patterns that have been identified in statistical science:
Analysis of the Copula
Listed below are some of the concepts to be used in analysis of a copula:
Listed below are some of the common matrices that are used to develop copulas in asset management:
Fig. The five primary types of copulas each represented with positive slope/correlation.
Fig. A Clayton copula with a long and concentrated left tail and positive slope/correlation.
Fig. Left: The "high" performers identified on a scatter plot. Right: The "poor" performers identified on a scatter plot.
Fig. The leading edge (front) of a copula indicating the data of the oldest buildings in a class.
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