Copulas

[Viki2010]

Just wanted to ask what specifically do we need to know?

1. shapes of distributions?

2. formulae of copulas - learnt by hard?

3. sklar's theorem and all the names of different copulas?

4. perform some calculations on copulas?


The syllabus states a requirement to be able to recommend some types of copulas vs. other ones....I have not found a lot of information in Act Ed notes and was wondering if maybe I should primarily base my studies of copulas on Sweeting?

 

[Simon James]

Hi - taking your questions in turn....

1. shapes of distributions?

It might be helpful to know the broad shape of the distributions so you could recommend a distribution for a specific scenario

2. formulae of copulas - learnt by hard?

No - guidance in Core Reading says these will be provided if required

3. sklar's theorem and all the names of different copulas?

Yes - could be useful to know what Sklar is saying - no need to know the proof. You should be familiar with the names of common copulas.

4. perform some calculations on copulas?

Yes - precedents for this in several exams

The syllabus states a requirement to be able to recommend some types of copulas vs. other ones....I have not found a lot of information in Act Ed notes and was wondering if maybe I should primarily base my studies of copulas on Sweeting?

This means you need to be able to suggest what tail dependency and co-dependency might exist in a situation and match up to a suitable copula. There is info in the notes about tail dependency and measures of rank correlation to help with this. It is explored in more depth in tutorials.

I hope this helps!