C. Genest et al., ON THE IMPOSSIBILITY OF CONSTRUCTING DIST RIBUTIONS WITH FIXED MULTIVARIATE MARGINALS USING COPULAS, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 320(6), 1995, pp. 723-726
Copulas, also known as dependence functions and uniform representation
s, provide a standard way of constructing multivariate distributions w
ith fixed marginals. It is shown here, in two different ways, that the
same tool is inadequate to build distributions with multivariate marg
inals.