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  • Search: subject:"multivariate normal copula"
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Kendall's \tau 1 Spearman's \rho 1 copulas 1 decision analysis process 1 measures of dependence 1 multivariate normal copula 1
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Clemen, Robert T. 1 Reilly, Terence 1
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Management Science 1
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Correlations and Copulas for Decision and Risk Analysis
Clemen, Robert T.; Reilly, Terence - In: Management Science 45 (1999) 2, pp. 208-224
The construction of a probabilistic model is a key step in most decision and risk analyses. Typically this is done by defining a joint distribution in terms of marginal and conditional distributions for the model's random variables. We describe an alternative approach that uses a copula to...
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