JOURNAL ARTICLE
The Bivariate Normal Copula
Year: 2013 Journal: Communication in Statistics- Theory and Methods Vol: 42 (13)Pages: 2402-2422 Publisher: Taylor & Francis
Abstract
We collect well known and less known facts about the bivariate normal\ndistribution and translate them into copula language. In addition, we prove a\nvery general formula for the bivariate normal copula, we compute Gini's gamma,\nand we provide improved bounds and approximations on the diagonal.\n
Keywords:
Copula (linguistics) Bivariate analysis Multivariate normal distribution Diagonal Mathematics Econometrics Statistics Bivariate data Multivariate statistics
Metrics
83
Cited By
7.88
FWCI (Field Weighted Citation Impact)
55
Refs
0.98
Citation Normalized Percentile
Is in top 1%
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Citation History
Topics
Numerical Methods and Algorithms
Physical Sciences → Computer Science → Computational Theory and Mathematics
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Probability and Statistical Research
Physical Sciences → Mathematics → Statistics and Probability
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