Efficient correlation matching for fitting discrete multivariate distributions with arbitrary marginals and normal-copula dependence

INFORMS Journal on Computing

Volumn 21, Issue 1, 2009, Pages 88-106

  Avramidis, Athanassios N ^a   Channouf, Nabil ^b   L'Ecuyer, Pierre ^b  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^b UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Copula; Correlation; Estimation; Multivariate distribution; Simulation; Statistics

Indexed keywords

EID: 67649977091     PISSN: 10919856     EISSN: 15265528     Source Type: Journal    
DOI: 10.1287/ijoc.1080.0281     Document Type: Article

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