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 inv...
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| Format: | Article |
| Language: | English |
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2013-10-10.
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| Online Access: | Get fulltext |