New research reveals surprising connections in bivariate copulas and nonparametric estimation.
The article discusses how bivariate copulas can be understood through conditional distributions and weak convergence. For Archimedean and Extreme Value copulas, standard convergence and weak conditional convergence are equivalent. Every copula can be the weak conditional limit of a sequence of checkerboard copulas. This has implications for dependence measures and nonparametric estimation of these copulas.