On multivariate Gaussian copulas

DOI10.1016/j.jspi.2009.05.039zbMath1169.62055OpenAlexW1966041919MaRDI QIDQ840759

Ivan Žežula

Publication date: 14 September 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.05.039

zbMATH Keywords

correlationKendallSpearman

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (4)

A family of block-wise one-factor distributions for modeling high-dimensional binary data ⋮ On the estimation of normal copula discrete regression models using the continuous extension and simulated likelihood ⋮ Nonparametric estimation of copula-based measures of multivariate association from contingency tables ⋮ Gaussian copula distributions for mixed data, with application in discrimination

Cites Work

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• A bivariate meta-Gaussian density for use in hydrology
• Correlations and Copulas for Decision and Risk Analysis
• Ordinal Measures of Association

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