CMA: Copula-Marginal Algorithm

The Copula-Marginal Algorithm (CMA) provides tools to estimate fully flexible copulas. CMA is a simple two-step algorithm that decomposes a multivariate distribution between copulas and marginals (of any kind). This flexibility follows from the fact that, unlike traditional approaches to copulas, CMA does not require the explicit computation of marginal CDF and their inverses. As a result, CMA can generate scenarios for many more copulas than the few parametric families used in the traditional approach.