The Bivariate Normal Copula

Azzalini A.; Azzalini A.; Ağca Ş.; Balakrishnan N.; Bluhm C.; Borth D. M.; Bretz F.; Christian Meyer; Daley D. J.; Embrechts P.; Hull J.; Lindskog F.; Mee R. W.; Meyer C.; Nelsen R. B.; Patefield M.; Patel J. K.; Pinelis I.; Plackett R. L.; Sheppard W. F.; Sowden R. R.; Stieltjes T. S.; Vasicek O.; Vasicek O.; West G.; Willink R.

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The Bivariate Normal Copula

Authors: Azzalini A.
Azzalini A.
Ağca Ş.
Balakrishnan N.
Bluhm C.
Borth D. M.
Bretz F.
Christian Meyer
Daley D. J.
Embrechts P.
Hull J.
Lindskog F.
Mee R. W.
Meyer C.
Nelsen R. B.
Patefield M.
Patel J. K.
Pinelis I.
Plackett R. L.
Sheppard W. F.
Sowden R. R.
Stieltjes T. S.
Vasicek O.
Vasicek O.
West G.
Willink R.
Publication date: 15 December 2009
Publisher: 'Informa UK Limited'
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Abstract

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.Comment: 24 page

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