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Has anybody any idea as to why Nelsen's book on copulas is absolutely continuous in its silence about the Gaussian copula? It seems like an indirect statement of scorn.

Alecos Papadopoulos
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  • It does mention the Gaussian copula: see https://stats.stackexchange.com/a/62011/919. – whuber Oct 27 '17 at 19:48
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    @whuber ...in an example about how one can obtain a non-normal joint from normal marginals! It is very telling that he says "every copula except one of the form... will suffice" (the "form" being the Gaussian copula). I have missed this, but it only re-inforces my impression that Nelsen had a beef (if you excuse my language) with the Gaussian copula. And it still doesn't use its name. – Alecos Papadopoulos Oct 27 '17 at 19:53
  • He refers to them as "normal copulas" just a few years later: see http://w4.stern.nyu.edu/ioms/docs/sg/seminars/nelsen.pdf. – whuber Oct 27 '17 at 20:17

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