The Bivariate Normal Copula

Details The Bivariate Normal Copula The Bivariate Normal Copula

2009-12-15

arxiv.org/abs/0912.2816v1

Mathematics

Probability

24 pages

Scientific paper

We collect well known and less known facts about the bivariate normal
distribution and translate them into copula language. In addition, we prove a
very general formula for the bivariate normal copula, we compute Gini's gamma,
and we provide improved bounds and approximations on the diagonal.

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