TY - GEN
T1 - Fitting a normal copula for a multivariate distribution with both discrete and continuous marginals
AU - Channouf, Nabil
AU - L'Ecuyer, Pierre
PY - 2009
Y1 - 2009
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=77951563798&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=77951563798&partnerID=8YFLogxK
U2 - 10.1109/WSC.2009.5429342
DO - 10.1109/WSC.2009.5429342
M3 - Conference contribution
AN - SCOPUS:77951563798
SN - 9781424457700
T3 - Proceedings - Winter Simulation Conference
SP - 352
EP - 358
BT - Proceedings of the 2009 Winter Simulation Conference, WSC 2009
T2 - 2009 Winter Simulation Conference, WSC 2009
Y2 - 13 December 2009 through 16 December 2009
ER -