Mixture Copula

Mixture copulas are instances where

  1. Multiple copulas are combined to model the data
    • As an example, imagine you have an Empirical Copula and Gaussian Copula meshed together to fit the data

  2. A copula where the dependence structure is a combination of various distributions
    • 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.

Mixture Copulas