Stochastic Dependence Modelling Using Conditional Elliptical Processes

Abstract

The class of elliptical structures includes a vast field of known symmetric distributions and copulas. This article investigates the properties of the copula underlying a stochastic elliptical process in conditional context. Specifically we characterize the conditional high dimensional copulas of the elliptical process both in non-spatial framework and for space-varying models. A spatial conditional measure is constructed to model the joint dependence of these copulas and distributions with applications to the three most known elliptical structures.