2019/12/11 by Mukhopadhyay, Subhadeep, Parzen, Emanuel
#Applications (stat.AP) #Computation (stat.CO) #FOS: Computer and information sciences #Methodology (stat.ME)
paper · doi:10.48550/arxiv.1912.05503
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.