DocumentCode
1817223
Title
Fitting a normal copula for a multivariate distribution with both discrete and continuous marginals
Author
Channouf, Nabil ; Ecuyer, Pierre L.
Author_Institution
GERAD, Univ. de Montreal, Montreal, QC, Canada
fYear
2009
fDate
13-16 Dec. 2009
Firstpage
352
Lastpage
358
Abstract
We consider a multivariate distribution with both discrete and continuous marginals, for which the dependence is modeled by a normal copula (sometimes called the NORTA method), and provide an algorithm for fitting the copula in that situation. The fitting is done by matching (approximately) either the rank correlations or the product moment correlations for all pairs of marginals. Numerical illustrations are provided.
Keywords
multivariable systems; stochastic processes; vectors; continuous marginals; discrete marginals; multivariate distribution; normal copula; product moment correlations; rank correlations; Approximation algorithms; Distributed computing; Distribution functions; Gaussian distribution; Pairwise error probability; Proposals; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference (WSC), Proceedings of the 2009 Winter
Conference_Location
Austin, TX
Print_ISBN
978-1-4244-5770-0
Type
conf
DOI
10.1109/WSC.2009.5429342
Filename
5429342
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