Matching a correlation coefficient by a Gaussian copula
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Cites work
- A normal copula model for the arrival process in a call center
- A table of normal integrals
- An introduction to copulas.
- An Introduction to Numerical Analysis
- An R package for the simulation of correlated discrete variables
- Behavior of the NORTA method for correlated random vector generation as the dimension increases
- Computing the nearest correlation matrix--a problem from finance
- Constructing discrete unbounded distributions with Gaussian-copula dependence and given rank correlation
- Efficient correlation matching for fitting discrete multivariate distributions with arbitrary marginals and normal-copula dependence
- Efficiently sampling nested Archimedean copulas
- Generating correlated random vector involving discrete variables
- scientific article; zbMATH DE number 1692434 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Initialization for NORTA: generation of random vectors with specified marginals and correlations
- Modeling multivariate count data using copulas
- On the Mehler formula for Hermite polynomials
- Rank Correlation and Tests of Significance Involving No Assumption of Normality
- Sampling Archimedean copulas
- Sampling nested Archimedean copulas
- Simulating dependent discrete data
- Simulating from Exchangeable Archimedean Copulas
Cited in
(5)- A flexible multivariate model for high-dimensional correlated count data
- A new multivariate quadrature rule for calculating statistical moments of stochastic response
- Matching the grade correlation coefficient using a copula with maximum disorder
- Geometry of a corelation coefficient under a copula
- Multivariate zero-inflated generalised poisson data generation methods for simulating counts of adverse events
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