Fitting a normal copula for a multivariate distribution with both discrete and continuous marginals

Authors:
Nabil Channouf;Pierre L'Ecuyer
Affiliations:
Université de Montréal, Montréal (Qc), Canada;DIRO, Université de Montreal, Montréal (Qc), Canada
Venue:
Winter Simulation Conference
Year:
2009

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Abstract

We consider a multivariate distribution with both discrete and continuous marginals, for which the dependence is modeled by a normal copula (sometimes called the NORTA method), and provide an algorithm for fitting the copula in that situation. The fitting is done by matching (approximately) either the rank correlations or the product moment correlations for all pairs of marginals. Numerical illustrations are provided.