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Abstract: this paper we extend the standard approach of correlation structure analysis in order to reduce the dimension of highdimensional statistical data. The classical assumption of a linear model for the distribution of a random vector is replaced by the weaker assumption of a model for the copula. For elliptical copulae a 'correlation-like' structure remains but di erent margins and non-existence of moments are possible. Moreover, elliptical copulae allow also for a 'copula structure analysis' of... (Update)
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BibTeX entry: (Update)
@misc{ ppelberg-copula,
author = "Claudia Klüppelberg and Gabriel Kuhn",
title = "Copula Structure Analysis Based on Robust and Extreme Dependence Measures",
url = "citeseer.ist.psu.edu/755363.html" }
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