The Bivariate Normal Copula

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.

24 pages

References in corpus (1)

• Distributions generated by perturbation of symmetry with emphasis on a multivariate skew $t$ distribution

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