Copula (probability theory)

In probability theory and statistics, a copula is a multivariate cumulative distribution function for which the marginal probability
distribution of each variable is uniform on the interval  [0,  1]. Copulas are used to describe/model the dependence (inter-correlation)
between random variables.[1] Their name, introduced by applied mathematician Abe Sklar in 1959, comes from the Latin for "link" or
"tie", similar but unrelated to grammatical copulas in linguistics. Copulas have been used widely in quantitative finance to model and
minimize tail risk[2] and portfolio-optimization applications.[3]

Sklar's theorem states that any multivariate joint distribution can be written in terms of univariate marginal distribution functions and a
copula which describes the dependence structure between the variables.

Copulas are popular in high-dimensional statistical applications as they allow one to easily model and estimate the distribution of random
vectors by estimating marginals and copulae separately. There are many parametric copula families available, which usually have
parameters that control the strength of dependence. Some popular parametric copula models are outlined below.

Two-dimensional copulas are known in some other areas of mathematics under the name permutons and doubly-stochastic measures.

Mathematical definition
Consider a random vector . Suppose its marginals are continuous, i.e. the marginal CDFs are
continuous functions. By applying the probability integral transform to each component, the random vector

has marginals that are uniformly distributed on the interval [0, 1].

The copula of is defined as the joint cumulative distribution function of :

The copula C contains all information on the dependence structure between the components of whereas the marginal
cumulative distribution functions contain all information on the marginal distributions of .

The reverse of these steps can be used to generate pseudo-random samples from general classes of multivariate probability distributions.
That is, given a procedure to generate a sample from the copula function, the required sample can be constructed as

The inverses are unproblematic almost surely, since the were assumed to be continuous. Furthermore, the above formula for the
copula function can be rewritten as:

Definition
In probabilistic terms, is a d-dimensional copula if C is a joint cumulative distribution function of a d-dimensional
random vector on the unit cube with uniform marginals.[4]

In analytic terms, is a d-dimensional copula if

, the copula is zero if any one of the arguments is zero,

, the copula is equal to u if one argument is u and all others 1,

C is d-non-decreasing, i.e., for each hyperrectangle the C-volume of B is non-negative:

where the .
For instance, in the bivariate case, is a bivariate copula if ,
and for all and .

Sklar's theorem
Sklar's theorem, named after Abe Sklar, provides the theoretical foundation for the application of
copulas.[5][6] Sklar's theorem states that every multivariate cumulative distribution function

of a random vector can be expressed in terms of its marginals

and a copula . Indeed: Density and contour plot of a
Bivariate Gaussian Distribution

If the multivariate distribution has a density , and if this density is available, it also holds that

where is the density of the copula.

The theorem also states that, given , the copula is unique on , Density and contour plot of two
which is the cartesian product of the ranges of the marginal cdf's. This implies that the copula is Normal marginals joint with a
unique if the marginals are continuous. Gumbel copula

The converse is also true: given a copula and marginals then

defines a d-dimensional cumulative distribution function with marginal distributions .

Stationarity condition
Copulas mainly work when time series are stationary[7] and continuous.[8] Thus, a very important pre-processing step is to check for the
auto-correlation, trend and seasonality within time series.

When time series are auto-correlated, they may generate a non existing dependence between sets of variables and result in incorrect Copula
dependence structure.[9]

Fréchet–Hoeffding copula bounds

The Fréchet–Hoeffding theorem (after Maurice René Fréchet and Wassily Hoeffding[10]) states that
for any Copula and any the following bounds hold:

Graphs of the bivariate Fréchet–

The function W is called lower Fréchet–Hoeffding bound and is defined as Hoeffding copula limits and of the
independence copula (in the middle).

The function M is called upper Fréchet–Hoeffding bound and is defined as

The upper bound is sharp: M is always a copula, it corresponds to comonotone random variables.

The lower bound is point-wise sharp, in the sense that for fixed u, there is a copula such that . However, W is a copula
only in two dimensions, in which case it corresponds to countermonotonic random variables.

In two dimensions, i.e. the bivariate case, the Fréchet–Hoeffding theorem states

Families of copulas
Several families of copulas have been described.

Gaussian copula

The Gaussian copula is a distribution over the unit hypercube . It is constructed from a
multivariate normal distribution over by using the probability integral transform.

For a given correlation matrix , the Gaussiacopula with parameter matrix can be
written as
Cumulative and density distribution
of Gaussian copula with ρ = 0.4

where is the inverse cumulative distribution function of a standard normal and is the joint
cumulative distribution function of a multivariate normal distribution with mean vector zero and covariance matrix equal to the correlation
matrix . While there is no simple analytical formula for the copula function, , it can be upper or lower bounded, and
approximated using numerical integration.[11][12] The density can be written as[13]

where is the identity matrix.

Archimedean copulas

Archimedean copulas are an associative class of copulas. Most common Archimedean copulas admit an explicit formula, something not
possible for instance for the Gaussian copula. In practice, Archimedean copulas are popular because they allow modeling dependence in
arbitrarily high dimensions with only one parameter, governing the strength of dependence.

A copula C is called Archimedean if it admits the representation[14]

where is a continuous, strictly decreasing and convex function such that , is a parameter within
some parameter space , and is the so-called generator function and is its pseudo-inverse defined by

Moreover, the above formula for C yields a copula for if and only if is d-monotone on .[15] That is, if it is times
differentiable and the derivatives satisfy

for all and and is nonincreasing and convex.

Most important Archimedean copulas

The following tables highlight the most prominent bivariate Archimedean copulas, with their corresponding generator. Not all of them are
completely monotone, i.e. d-monotone for all or d-monotone for certain only.
 Table with the most important Archimedean copulas[14]
Name of Bivariate copula generator
parameter generator inverse
copula
  
Ali–Mikhail–     
 
Haq[16]

 
Clayton[17]           

  
    
Frank    
    

Gumbel             

Independence             

    
Joe     
    

Expectation for copula models and Monte Carlo integration

In statistical applications, many problems can be formulated in the following way. One is interested in the expectation of a response
function applied to some random vector .[18] If we denote the CDF of this random vector with , the quantity
of interest can thus be written as

If is given by a copula model, i.e.,

this expectation can be rewritten as

In case the copula C is absolutely continuous, i.e. C has a density c, this equation can be written as

and if each marginal distribution has the density it holds further that

If copula and marginals are known (or if they have been estimated), this expectation can be approximated through the following Monte
Carlo algorithm:

1. Draw a sample of size n from the copula C

2. By applying the inverse marginal cdf's, produce a sample of by setting

3. Approximate by its empirical value:

Empirical copulas
When studying multivariate data, one might want to investigate the underlying copula. Suppose we have observations
from a random vector with continuous marginals. The corresponding “true” copula observations would be

However, the marginal distribution functions are usually not known. Therefore, one can construct pseudo copula observations by using
the empirical distribution functions

instead. Then, the pseudo copula observations are defined as

The corresponding empirical copula is then defined as

The components of the pseudo copula samples can also be written as , where is the rank of the observation :

Therefore, the empirical copula can be seen as the empirical distribution of the rank transformed data.

The sample version of Spearman's rho:[19]

Applications

Quantitative finance

In quantitative finance copulas are applied to risk management, to portfolio management and
optimization, and to derivatives pricing.

For the former, copulas are used to perform stress-tests and robustness checks that are especially
important during "downside/crisis/panic regimes" where extreme downside events may occur (e.g.,
the global financial crisis of 2007–2008). The formula was also adapted for financial markets and
was used to estimate the probability distribution of losses on pools of loans or bonds.

During a downside regime, a large number of investors who have held positions in riskier assets
such as equities or real estate may seek refuge in 'safer' investments such as cash or bonds. This is
also known as a flight-to-quality effect and investors tend to exit their positions in riskier assets in
large numbers in a short period of time. As a result, during downside regimes, correlations across
Examples of bivariate copulæ used
equities are greater on the downside as opposed to the upside and this may have disastrous effects
in finance.
on the economy.[22][23] For example, anecdotally, we often read financial news headlines reporting
the loss of hundreds of millions of dollars on the stock exchange in a single day; however, we
rarely read reports of positive stock market gains of the same magnitude and in the same short time frame.

Copulas aid in analyzing the effects of downside regimes by allowing the modelling of the marginals and dependence structure of a
multivariate probability model separately. For example, consider the stock exchange as a market consisting of a large number of traders
each operating with his/her own strategies to maximize profits. The individualistic behaviour of each trader can be described by modelling
the marginals. However, as all traders operate on the same exchange, each trader's actions have an interaction effect with other traders'.
This interaction effect can be described by modelling the dependence structure. Therefore, copulas allow us to analyse the interaction
effects which are of particular interest during downside regimes as investors tend to herd their trading behaviour and decisions. (See also
agent-based computational economics, where price is treated as an emergent phenomenon, resulting from the interaction of the various
market participants, or agents.)
The users of the formula have been criticized for creating "evaluation cultures" that continued to Typical finance applications:
use simple copulæ despite the simple versions being acknowledged as inadequate for that
Analyzing systemic risk in financial
purpose.[24][25] Thus, previously, scalable copula models for large dimensions only allowed the
markets[20]
modelling of elliptical dependence structures (i.e., Gaussian and Student-t copulas) that do not
Analyzing and pricing spread
allow for correlation asymmetries where correlations differ on the upside or downside regimes. options, in particular in fixed income
However, the development of vine copulas[26] (also known as pair copulas) enables the flexible constant maturity swap spread
options
modelling of the dependence structure for portfolios of large dimensions.[27] The Clayton
Analyzing and pricing volatility
canonical vine copula allows for the occurrence of extreme downside events and has been
smile/skew of exotic baskets, e.g.
successfully applied in portfolio optimization and risk management applications. The model is best/worst of
able to reduce the effects of extreme downside correlations and produces improved statistical and Analyzing and pricing volatility
economic performance compared to scalable elliptical dependence copulas such as the Gaussian smile/skew of less liquid FX cross,
and Student-t copula.[28] which is effectively a basket: C =
S1/S2 or C = S1·S2

Other models developed for risk management applications are panic copulas that are glued with Value-at-Risk forecasting and
portfolio optimization to minimize
market estimates of the marginal distributions to analyze the effects of panic regimes on the tail risk for US and international
portfolio profit and loss distribution. Panic copulas are created by Monte Carlo simulation, mixed equities[2]
with a re-weighting of the probability of each scenario.[29] Forecasting equities returns for
higher-moment portfolio
As regards derivatives pricing, dependence modelling with copula functions is widely used in optimization/full-scale
applications of financial risk assessment and actuarial analysis – for example in the pricing of optimization[20]
collateralized debt obligations (CDOs).[30] Some believe the methodology of applying the Improving the estimates of a
portfolio's expected return and
Gaussian copula to credit derivatives to be one of the reasons behind the global financial crisis of variance-covariance matrix for input
2008–2009;[31][32][33] see David X. Li § CDOs and Gaussian copula. into sophisticated mean-variance
optimization strategies[3]
Despite this perception, there are documented attempts within the financial industry, occurring Statistical arbitrage strategies
before the crisis, to address the limitations of the Gaussian copula and of copula functions more including pairs trading[21]
generally, specifically the lack of dependence dynamics. The Gaussian copula is lacking as it only
allows for an elliptical dependence structure, as dependence is only modeled using the variance-covariance matrix.[28] This methodology is
limited such that it does not allow for dependence to evolve as the financial markets exhibit asymmetric dependence, whereby correlations
across assets significantly increase during downturns compared to upturns. Therefore, modeling approaches using the Gaussian copula
exhibit a poor representation of extreme events.[28][34] There have been attempts to propose models rectifying some of the copula
limitations.[34][35][36]

Additional to CDOs, Copulas have been applied to other asset classes as a flexible tool in analyzing multi-asset derivative products. The
first such application outside credit was to use a copula to construct a basket implied volatility surface,[37] taking into account the volatility
smile of basket components. Copulas have since gained popularity in pricing and risk management[38] of options on multi-assets in the
presence of a volatility smile, in equity-, foreign exchange- and fixed income derivatives.

Civil engineering

Recently, copula functions have been successfully applied to the database formulation for the reliability analysis of highway bridges, and to
various multivariate simulation studies in civil engineering,[39] reliability of wind and earthquake engineering,[40] and mechanical &
offshore engineering.[41] Researchers are also trying these functions in the field of transportation to understand the interaction between
behaviors of individual drivers which, in totality, shapes traffic flow.

Reliability engineering

Copulas are being used for reliability analysis of complex systems of machine components with competing failure modes. [42]

Warranty data analysis

Copulas are being used for warranty data analysis in which the tail dependence is analysed.[43]

Turbulent combustion

Copulas are used in modelling turbulent partially premixed combustion, which is common in practical combustors.[44][45]

Medicine

Copulæ have many applications in the area of medicine, for example,

 1. Copulæ have been used in the field of magnetic resonance imaging (MRI), for example, to segment images,[46] to fill a
vacancy of graphical models in imaging genetics in a study on schizophrenia,[47] and to distinguish between normal and
Alzheimer patients.[48]
2. Copulæ have been in the area of brain research based on EEG signals, for example, to detect drowsiness during
daytime nap,[49] to track changes in instantaneous equivalent bandwidths (IEBWs),[50] to derive synchrony for early
diagnosis of Alzheimer's disease,[51] to characterize dependence in oscillatory activity between EEG channels,[52] and
to assess the reliability of using methods to capture dependence between pairs of EEG channels using their time-
varying envelopes.[53] Copula functions have been successfully applied to the analysis of neuronal dependencies[54]
and spike counts in neuroscience .[55]
3. A copula model has been developed in the field of oncology, for example, to jointly model genotypes, phenotypes, and
pathways to reconstruct a cellular network to identify interactions between specific phenotype and multiple molecular
features (e.g. mutations and gene expression change). Bao et al.[56] used NCI60 cancer cell line data to identify several
subsets of molecular features that jointly perform as the predictors of clinical phenotypes. The proposed copula may
have an impact on biomedical research, ranging from cancer treatment to disease prevention. Copula has also been
used to predict the histological diagnosis of colorectal lesions from colonoscopy images,[57] and to classify cancer
subtypes.[58]
4. A Copula-based analysis model has been developed in the field of heart and cardiovascular disease, for example, to
predict heart rate (HR) variation. Heart rate (HR) is one of the most critical health indicators for monitoring exercise
intensity and load degree because it is closely related to heart rate. Therefore, an accurate short-term HR prediction
technique can deliver efficient early warning for human health and decrease harmful events. Namazi (2022)[59] used a
novel hybrid algorithm to predict HR.

Geodesy

The combination of SSA and Copula-based methods have been applied for the first time as a novel stochastic tool for Earth Orientation
Parameters prediction.[60][61]

Hydrology research

Copulas have been used in both theoretical and applied analyses of hydroclimatic data. Theoretical studies adopted the copula-based
methodology for instance to gain a better understanding of the dependence structures of temperature and precipitation, in different parts of
the world.[9][62][63] Applied studies adopted the copula-based methodology to examine e.g., agricultural droughts[64] or joint effects of
temperature and precipitation extremes on vegetation growth.[65]

Climate and weather research

Copulas have been extensively used in climate- and weather-related research.[66][67]

Solar irradiance variability

Copulas have been used to estimate the solar irradiance variability in spatial networks and temporally for single locations.[68][69]

Random vector generation

Large synthetic traces of vectors and stationary time series can be generated using empirical copula while preserving the entire dependence
structure of small datasets.[70] Such empirical traces are useful in various simulation-based performance studies.[71]

Ranking of electrical motors

Copulas have been used for quality ranking in the manufacturing of electronically commutated motors.[72]

Signal processing
Copulas are important because they represent a dependence structure without using marginal distributions. Copulas have been widely used
in the field of finance, but their use in signal processing is relatively new. Copulas have been employed in the field of wireless
communication for classifying radar signals, change detection in remote sensing applications, and EEG signal processing in medicine. In
this section, a short mathematical derivation to obtain copula density function followed by a table providing a list of copula density
functions with the relevant signal processing applications are presented.

Astronomy

Copulas have been used for determining the core radio luminosity function of Active galactic Nuclei (AGNs),[73] while this can not be
realized using traditional methods due to the difficulties in sample completeness.

Mathematical derivation of copula density function

For any two random variables X and Y, the continuous joint probability distribution function can be written as

where and are the marginal cumulative distribution functions of the random variables X
and Y, respectively.

then the copula distribution function can be defined using Sklar's theorem[74][75] as:

where and are marginal distribution functions, joint and .

Assuming is a.e. twice differentiable, we start by using the relationship between joint probability density function (PDF) and
joint cumulative distribution function (CDF) and its partial derivatives.

where is the copula density function, and are the marginal probability density functions of X and Y, respectively. It is
important to understand that there are four elements in this equation, and if any three elements are known, the fourth element can be
calculated. For example, it may be used,

when joint probability density function between two random variables is known, the copula density function is known,
and one of the two marginal functions are known, then, the other marginal function can be calculated, or
when the two marginal functions and the copula density function are known, then the joint probability density function
between the two random variables can be calculated, or
when the two marginal functions and the joint probability density function between the two random variables are known,
then the copula density function can be calculated.

List of copula density functions and applications

Various bivariate copula density functions are important in the area of signal processing. and are marginal
distributions functions and and are marginal density functions. Extension and generalization of copulas for statistical signal
processing have been shown to construct new bivariate copulas for exponential, Weibull, and Rician distributions.[76] Zeng et al.[77]
presented algorithms, simulation, optimal selection, and practical applications of these copulas in signal processing.
 Copula density: c(u, v) Use

supervised classification of
synthetic aperture radar
(SAR) images,[78]

validating biometric
authentication,[79]
modeling stochastic
Gaussian dependence in large-
scale integration of
wind power,[80]
unsupervised
classification of radar
signals[81]

queuing system with

Exponential
infinitely many servers[82]

change detection from SAR

Rayleigh bivariate exponential, Rayleigh, and Weibull copulas have been proved to be equivalent[83][84][85]
images[86]
digital communication over
Weibull bivariate exponential, Rayleigh, and Weibull copulas have been proved to be equivalent[83][84][85]
fading channels[87]
shadow fading along with
Log-normal bivariate log-normal copula and Gaussian copula are equivalent[85][84] multipath effect in wireless
channel[88][89]
Farlie–
information processing of
Gumbel–
uncertainty in knowledge-
Morgenstern
(FGM) based systems[90]

location estimation of
random signal source and
Clayton hypothesis testing using
heterogeneous data[91][92]

quantitative risk
Frank assessment of geo-
hazards[93]

supervised SAR image

classification,[86]
Student's t
fusion of correlated
sensor decisions[94]

Nakagami-
m

Rician

See also
Coupling (probability)

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Further reading
The standard reference for an introduction to copulas. Covers all fundamental aspects, summarizes the most popular
copula classes, and provides proofs for the important theorems related to copulas

Roger B. Nelsen (1999), "An Introduction to Copulas", Springer. ISBN 978-0-387-98623-4

A book covering current topics in mathematical research on copulas:

Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, Tomasz Rychlik (Editors): (2010): "Copula Theory and
Its Applications" Lecture Notes in Statistics, Springer. ISBN 978-3-642-12464-8

A reference for sampling applications and stochastic models related to copulas is

Jan-Frederik Mai, Matthias Scherer (2012): Simulating Copulas (Stochastic Models, Sampling Algorithms and
Applications). World Scientific. ISBN 978-1-84816-874-9

A paper covering the historic development of copula theory, by the person associated with the "invention" of copulas,
Abe Sklar.

Abe Sklar (1997): "Random variables, distribution functions, and copulas – a personal look backward and
forward" in Rüschendorf, L., Schweizer, B. und Taylor, M. (eds) Distributions With Fixed Marginals & Related
Topics (Lecture Notes – Monograph Series Number 28). ISBN 978-0-940600-40-9

The standard reference for multivariate models and copula theory in the context of financial and insurance models

Alexander J. McNeil, Rudiger Frey and Paul Embrechts (2005) "Quantitative Risk Management: Concepts,
Techniques, and Tools", Princeton Series in Finance. ISBN 978-0-691-12255-7

External links
"Copula" (https://www.encyclopediaofmath.org/index.php?title=Copula), Encyclopedia of Mathematics, EMS Press,
2001 [1994]
Copula Wiki: community portal for researchers with interest in copulas (https://sites.google.com/site/copulawiki/)
A collection of Copula simulation and estimation codes (https://web.archive.org/web/20160416142558/http://www.mathfi
nance.cn/tags/copula/)
Copulas & Correlation using Excel Simulation Articles (http://www.crystalballservices.com/Resources/ConsultantsCorne
rBlog/tagid/21/Correlation.aspx)
Chapter 1 of Jan-Frederik Mai, Matthias Scherer (2012) "Simulating Copulas: Stochastic Models, Sampling Algorithms,
and Applications" (http://www.worldscientific.com/doi/suppl/10.1142/p842/suppl_file/p842_chap01.pdf)

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