Efficient correlation matching for fitting discrete multivariate distributions with arbitrary marginals and normal-copula dependence

DOI10.1287/IJOC.1080.0281MaRDI QIDQ2901049zbMATH OpenOpenAlexFDO

Authors Athanassios N. Avramidis, Nabil Channouf, Pierre L'Ecuyer

Publication date 28 July 2012

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://eprints.soton.ac.uk/150001/1/ijoc_NORTA.pdf

zbMATH Keywords

simulations

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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