Matching a correlation coefficient by a Gaussian copula
Author:
Affiliation:
1. College of Mechanical and Electrical Engineering, Hunan University of Science and Technology, Xiangtan, Hunan Province, China
2. Hunan Engineering Laboratory for Photovoltaic System Control and Optimization, Xiangtan, Hunan Province, China
Funder
National Natural Science Foundation of China
Science and Research Fund of Hunan Province Education Department
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2018.1439962
Reference40 articles.
1. Models for construction of multivariate dependence – a comparison study
2. Constructing Discrete Unbounded Distributions with Gaussian-Copula Dependence and Given Rank Correlation
3. Efficient Correlation Matching for Fitting Discrete Multivariate Distributions with Arbitrary Marginals and Normal-Copula Dependence
4. An R package for the simulation of correlated discrete variables
5. The correlation function of smoothly limited Gaussian noise
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