Nonparametric Universal Copula Modeling

12/11/2019

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by   Subhadeep Mukhopadhyay, et al.

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To handle the ubiquitous problem of "dependence learning," copulas are quickly becoming a pervasive tool across a wide range of data-driven disciplines encompassing neuroscience, finance, econometrics, genomics, social science, machine learning, healthcare and many more. Copula (or connection) functions were invented in 1959 by Abe Sklar in response to a query of Maurice Frechet. After 60 years, where do we stand now? This article provides a history of the key developments and offers a unified perspective.