Statistics How To

Statistics How To


Copula Distributions

Probability Distribution: List of Statistical Distributions > Copula distributions contain copulas (from the Latin link)—the joint distributions of random variables. They enable us to identify dependencies in multivariate distributions; Any multivariate distribution can be modeled with a separately specified set…

Engle Granger Test

Cointegration > The Engle Granger test is a test for cointegration. It constructs residuals (errors) based on the static regression. The test uses the residuals to see if unit roots are present, using Augmented Dickey-Fuller test or another, similar test.…