Copulas in three dimensions with prescribed correlations
Statistics Theory
2010-04-20 v1 Statistics Theory
Abstract
Given an arbitrary three-dimensional correlation matrix, we prove that there exists a three-dimensional joint distribution for the random variable such that , and are identically distributed with beta distribution on if . This implies that any correlation structure can be attained for three-dimensional copulas.
Cite
@article{arxiv.1004.3146,
title = {Copulas in three dimensions with prescribed correlations},
author = {Luc Devroye and Gerard Letac},
journal= {arXiv preprint arXiv:1004.3146},
year = {2010}
}
Comments
15 pages, 2 figures