This paper addresses the problem of distributed fusion when the conditional independence assumptions on sensor measurements or local estimates are not met. A new data fusion algorithm called Copula fusion is presented. The proposed method is grounded on Copula statistical modeling and Bayesian analysis. The primary advantage of the Copula-based methodology is that it could reveal the unknown correlation that allows one to build joint probability distributions with potentially arbitrary underlying marginals and a desired intermodal dependence. The proposed fusion algorithm requires no a priori knowledge of communications patterns or network connectivity. The simulation results show that the Copula fusion brings a consistent estimate for a wide range of process noises.