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Copula Modeling: An Introduction for Practitioners
Foundations and Trends® in
Econometrics
Volume 1 Issue 1
DOI: 10.1561/0800000005
Copula Modeling: An Introduction for Practitioners
Pravin K. Trivedi
Department of Economics, Indiana University, Wylie Hall 105, Bloomington, IN 47405,
trivedi@indiana.edu
David M. Zimmer
Western Kentucky University, Department of Economics, 1906 College Heights Blvd., Bowling Green, KY 42101.,
dmzimmer@gmail.com, formerly at U.S. Federal Trade Commission
Abstract
This article explores the copula approach for econometric modeling of joint parametric distributions. Although theoretical
foundations of copulas are complex, this paper demonstrates that practical implementation and estimation are relatively straightforward.
An attractive feature of parametrically specified copulas is that estimation and inference are based on standard maximum likelihood
procedures, and thus copulas can be estimated using desktop econometric software. This represents a substantial advantage
of copulas over recently proposed simulation-based approaches to joint modeling.
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