Fitting a normal copula for a multivariate distribution with both discrete and continuous marginals
作者： Pierre L'Ecuyer , Nabil Channouf
关键词: Applied mathematics 、 Multivariate normal distribution 、 Copula (probability theory) 、 Statistics 、 Stochastic process 、 Mathematics
摘要: … 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 (…
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informs-sim.org 参考文章(7)
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