The Bivariate Normal Copula

By Christian Meyer. 2009

84 citations recorded by the source corpus.

We collect well-known and less-known facts about the bivariate normal distribution and translate them into copula language. In addition, we provide various (equivalent) expressions for the bivariate normal copula, we compute its Gini's gamma, and we derive improved bounds and approximations on its diagonal.

Subfields: Computational Theory and Mathematics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/e08ab85d20571b2967aa9f15d01c4ab6ecc390ee