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
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;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2009 Winter
Conference_Location :
Austin, TX
Print_ISBN :
978-1-4244-5770-0
DOI :
10.1109/WSC.2009.5429342
