The Bivariate Normal Copula
From MaRDI portal
Publication:2859290
DOI10.1080/03610926.2011.611316zbMath1411.60035arXiv0912.2816OpenAlexW2048282071MaRDI QIDQ2859290
Publication date: 7 November 2013
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0912.2816
Inequalities; stochastic orderings (60E15) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical distribution theory (62E99)
Related Items
Dynamic bivariate normal copula ⋮ Supermigrative copulas and positive dependence ⋮ On the family of multivariate chi-square copulas ⋮ Bayesian aggregation of two forecasts in the partial information framework ⋮ Tail dependence of the Gaussian copula revisited ⋮ Structural change in the link between oil and the European stock market: implications for risk management ⋮ Asymptotic properties of Spearman's footrule and Gini's gamma in bivariate normal model ⋮ Estimating the correlation between semi‐competing risk survival endpoints ⋮ Optimal designs for copula models ⋮ The influence function of Gini's gamma ⋮ Matrix compatibility and correlation mixture representation of generalized Gini's gamma ⋮ Extraction dependence structure of distorted copulas via a measure of dependence ⋮ Mixture copulas with discrete margins and their application to imbalanced data ⋮ On the specification of multivariate association measures and their behaviour with increasing dimension ⋮ A consistent track-to-track fusion method based on copula theory ⋮ On the distribution of sums of random variables with copula-induced dependence ⋮ Bivariate sinh-normal distribution and a related model ⋮ Imputation for skewed data: multivariate Lomax case ⋮ On copulas of self-similar Ito processes ⋮ A Compendium of Copulas ⋮ Screening for chronic diseases: optimizing lead time through balancing prescribed frequency and individual adherence
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Calculation of univariate and bivariate normal probability functions
- An introduction to copulas.
- Worst VaR scenarios with given marginals and measures of association
- A note on multivariate Gaussian estimates
- Computation of multivariate normal and \(t\) probabilities
- A simple approximation to the bivariate normal distribution with large correlation coefficient
- Mills' ratio: Monotonicity patterns and functional inequalities
- Comparison of algorithms for bivariate normal probability over a rectangle based on self-validated results from interval analysis∗
- Bounds on the Bivariate Normal Distribution Function
- Tables for Computing Bivariate Normal Probabilities
- A Simple Approximation for Bivariate and Trivariate Normal Integrals
- Continuous Bivariate Distributions
- A note on the equicorrelated multivariate normal distribution
- Bayes estimation subject to uncertainty about parameter constraints
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Multivariate extremes, aggregation and dependence in elliptical distributions
- Probability Integrals of Multivariate Normal and Multivariate $t^1$
- Bibliography on the Multivariate Normal Integrals and Related Topics
- The bivariate normal integral
- A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
- THE PROBABILITY INTEGRAL FOR TWO VARIABLES
- Approximations to the probability integral and certain percentage points of a multivariate analogue of Student's t-distribution
