Mixture copulas are instances where
As an example, imagine you have an Empirical Copula and Gaussian Copula meshed together to fit the data
An example would be the Gaussian Mixture Copula (GMC). In contrast to the Gaussian Copula where the dependence
structure is a uni-modal distribution, the GMC’s dependence structure is a mixture of many Gaussian distributions
and is thus multi-modal.
Presently, only Gaussian Mixture Copula is implemented.