The Philosophy of Copula Modeling: A Conversation with ChatGPT
Volume 21, Issue 4 (2023), pp. 619–637
Pub. online: 11 October 2023
Type: Philosophies Of Data Science
Open Access
Open Access
Received
18 July 2023
18 July 2023
Accepted
1 September 2023
1 September 2023
Published
11 October 2023
11 October 2023
Abstract
In the form of a scholarly exchange with ChatGPT, we cover fundamentals of modeling stochastic dependence with copulas. The conversation is aimed at a broad audience and provides a light introduction to the topic of copula modeling, a field of potential relevance in all areas where more than one random variable appears in the modeling process. Topics covered include the definition, Sklar’s theorem, the invariance principle, pseudo-observations, tail dependence and stochastic representations. The conversation also shows to what degree it can be useful (or not) to learn about such concepts by interacting with the current version of a chatbot.
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