Copulas: Tales and facts (with discussion) (Q2463697): Difference between revisions

This paper is based on the material of discussions on the copula approach held at the IV Conference on Extreme Value Analysis (Gothenburg, 2005). It is devoted to the possibilities and restrictions of copula techniques in the description of dependence. Special attention is paid to the application of copulas to risk management, modelling of multivariate extremes, graphical tools with copula approach and to the statistical fitting of copula models. The author's conclusion is negative: the dependence structure can not be investigated independently of the marginal distributions, which is the main copula idea. ``The copula fashion - the emperors's new closes''. In the discussion, C. Genest, B.Rémillard and L. Peng advocate the use of copula, whence A. Linder, J. Segers and L. de Haan demonstrate scepticism.