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?
Hi - taking your questions in turn.... It might be helpful to know the broad shape of the distributions so you could recommend a distribution for a specific scenario No - guidance in Core Reading says these will be provided if required 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. Yes - precedents for this in several exams 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!
