What is Copula

A dependence model, defined as a multivariate distribution function over a hypercube with uniform marginal distributions. The usefulness of copulas consists in the fact that any of them can link any marginal distribution into a valid multivariate distribution. Having in mind that the set of available parametric multivariate distributions is considerably smaller than the set of the parametric univariate distributions, a conclusion can be drawn that copulas expand the set of possible multivariate distributions and consequently increase the probability of finding an optimal dependence model for the concretely analyzed data.

Joint distribution of random variables can be expressed as a function of marginal distributions. It also takes into account correlation amongst the marginal distributions.