Constructing Discrete Unbounded Distributions with Gaussian-Copula Dependence and Given Rank Correlation

A random vector X with given univariate marginals can be obtained by first applying the normal distribution function to each coordinate of a vector Z of correlated standard normals to produce a vector U of correlated uniforms over (0,1) and then transforming each coordinate of U by the relevant inve...

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Veröffentlicht in:	INFORMS journal on computing 2014-05, Vol.26 (2), p.269-279
1. Verfasser:	Avramidis, Athanassios N
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Coordinates correlation Correlation (Statistics) Correlation analysis Distribution (Probability theory) Gaussian copula Mathematical research Multivariate analysis multivariate distribution Normal distribution statistics Studies unbounded discrete distribution
Online-Zugang:	Volltext
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