New 'Normal Mode Copula' Unlocks Hidden Relationships in Data
The article introduces a new type of copula called the "normal mode copula" to handle relationships between variables that are not linearly correlated but still dependent. This copula is shown to be asymmetric and nonmonotonic in certain situations. By applying it to real data on U.S. House vote share and campaign expenditure, the normal mode copula outperforms traditional copulas.