A Survey of the Use of Copulas in Stochastic Frontier Models

Christine Amsler and Peter Schmidt ()
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Christine Amsler: Michigan State University
Peter Schmidt: Michigan State University

A chapter in Advances in Efficiency and Productivity Analysis, 2021, pp 125-138 from Springer

Abstract: Abstract Copulas are used to create joint distributions with specified marginal distributions. The copula models the dependence between the corresponding marginal random variables. In the normal case, the multivariate normal distribution is a natural choice of joint distribution with normal marginals and its covariance matrix parameterizes the dependence between the individual marginal normals. But how would we specify a joint distribution for a normal and a half-normal, where these two random variables are allowed to be dependent? We can do this using copulas.

Date: 2021
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DOI: 10.1007/978-3-030-47106-4_6

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