Tuesday, October 30, 2007

29. Old paper by Genest and Favre

Copulas are currently a very important interface between Fuzzy Sets and Statistics. They used to be quite obscure and exotic to the average statistician (conditional on his ever having heard about them), but recent years are witnessing a sudden eclosion of interest and systematic application to dependence modelling, specially in areas like Finance.

The following is an interesting introduction to the statistical side of the subject.

C. Genest, A.-C. Favre (2007). Everything you always wanted to know about copula modeling but were afraid to ask. Journal of Hydrologic Engineering 12, 347-368.

A full list of Christian Genest's recent publications, with many links, is here.

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