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Fitting a normal copula for a multivariate distribution with both discrete and continuous marginals

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2 Author(s)
Channouf, N. ; GERAD, Univ. de Montreal, Montreal, QC, Canada ; L'Ecuyer, P.

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.

Published in:
Simulation Conference (WSC), Proceedings of the 2009 Winter

Date of Conference: 13-16 Dec. 2009

Page(s):
352 - 358
Print ISBN:
978-1-4244-5770-0
INSPEC Accession Number:
11179300
Conference Location :
Austin, TX
Digital Object Identifier :
10.1109/WSC.2009.5429342
Product Type:
Conference Publications

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