The bivariate normal copula
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Publication:2859290
DOI10.1080/03610926.2011.611316zbMATH Open1411.60035arXiv0912.2816OpenAlexW2048282071MaRDI QIDQ2859290FDOQ2859290
Authors: Christian Meyer 
Publication date: 7 November 2013
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Abstract: We collect well known and less known facts about the bivariate normal distribution and translate them into copula language. In addition, we prove a very general formula for the bivariate normal copula, we compute Gini's gamma, and we provide improved bounds and approximations on the diagonal.
Full work available at URL: https://arxiv.org/abs/0912.2816
Recommendations
Measures of association (correlation, canonical correlation, etc.) (62H20) Inequalities; stochastic orderings (60E15) Statistical distribution theory (62E99)
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