The Bivariate Normal Copula
classification
🧮 math.PR
q-fin.CP
keywords
bivariatecopulanormalknownadditionapproximationsboundscollect
read the original 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.
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