Proof for copula determined by correlation matrix
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How can I proof that the copula of an elliptical distribution $El(mu, sigma^2, g_n)$ is fully determined by the generator function $g_n$ and the correlation matrix extracted from $sigma^2$.
proof-verification probability-distributions
asked 2 days ago
Nickpick
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How can I proof that the copula of an elliptical distribution $El(mu, sigma^2, g_n)$ is fully determined by the generator function $g_n$ and the correlation matrix extracted from $sigma^2$.
proof-verification probability-distributions
asked 2 days ago
Nickpick
1136
add a comment |
up vote
0
down vote
favorite
up vote
0
down vote
favorite
How can I proof that the copula of an elliptical distribution $El(mu, sigma^2, g_n)$ is fully determined by the generator function $g_n$ and the correlation matrix extracted from $sigma^2$.
proof-verification probability-distributions
asked 2 days ago
Nickpick
1136
How can I proof that the copula of an elliptical distribution $El(mu, sigma^2, g_n)$ is fully determined by the generator function $g_n$ and the correlation matrix extracted from $sigma^2$.
proof-verification probability-distributions
proof-verification probability-distributions
asked 2 days ago
Nickpick
1136
asked 2 days ago
Nickpick
1136
asked 2 days ago
Nickpick
1136
asked 2 days ago
Nickpick
1136
asked 2 days ago
Nickpick
1136
1136
add a comment |
add a comment |
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