Copulas with prescribed correlation matrix

DOI10.1007/978-3-319-18585-9_25MaRDI QIDQ2798596zbMATH OpenOpenAlexFDO

Authors Gérard Letac, Luc Devroye

Publication date 13 April 2016

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-18585-9_25

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory of statistical distributions (62E10)

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Cites work

• A simple approach to the generation of uniformly distributed random variables with prescribed correlations
• Banach algebras for Jacobi series and positivity of a kernel
• Comment: Lancaster probabilities and Gibbs sampling
• Extreme Points in Convex Sets of Symmetric Matrices
• Lancaster probabilities
• Positivity and the convolution structure for Jacobi series

Cited in

(7)

• Matching a correlation coefficient by a Gaussian copula
• Matrix representation of copulas and quasi-copulas defined on non-square grids of the unit square
• COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE
• On attainability of Kendall's tau matrices and concordance signatures
• Matrix compatibility and correlation mixture representation of generalized Gini's gamma
• Admissible Bernoulli correlations
• Compatible matrices of Spearman's rank correlation

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