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

Nabil Channouf, Pierre L'Ecuyer

Research output: Chapter in Book/Report/Conference proceedingConference contribution

12 Citations (Scopus)

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.

Original languageEnglish
Title of host publicationProceedings of the 2009 Winter Simulation Conference, WSC 2009
Pages352-358
Number of pages7
DOIs
Publication statusPublished - 2009
Event2009 Winter Simulation Conference, WSC 2009 - Austin, TX, United States
Duration: Dec 13 2009Dec 16 2009

Other

Other2009 Winter Simulation Conference, WSC 2009
CountryUnited States
CityAustin, TX
Period12/13/0912/16/09

ASJC Scopus subject areas

  • Software
  • Modelling and Simulation
  • Computer Science Applications

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    Channouf, N., & L'Ecuyer, P. (2009). Fitting a normal copula for a multivariate distribution with both discrete and continuous marginals. In Proceedings of the 2009 Winter Simulation Conference, WSC 2009 (pp. 352-358). [5429342] https://doi.org/10.1109/WSC.2009.5429342