I have read many questions about Gaussian and Gaussian copula. I really cannot figure out:
- when and when not to use Gaussian copula?
- If the margins are normal then we can use Gaussian to model the dependence structure. However, if they are not normal then we can transform them to normal and then use Gaussian model. However, in copula model, why do we need to transform the margins to uniform and then fit Gaussian copula? Also, if the margins are uniform then how we can use Gaussian where the margins must be normal?