What is Copula? Mathematical formulation p(x)=I(x;)c(Px),…,P(za).( 1 copula P(Xi is the marginal cdf of the random variable Xi Interestingly, this density has uniform marginals, since P(z)U[0; 1] for any random variable Z When P(X);.; P(Xa are continuous, the copula c( )is uniqueWhat is Copula? • Mathematical formulation: P(xi ) is the marginal cdf of the random variable xi . Interestingly, this density has uniform marginals, since P(z)~ U[0; 1] for any random variable z. When P(x1 ); … ; P(xd ) are continuous, the copula c(.) is unique (2)