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arXiv · 0912.2816

The Bivariate Normal Copula

Christian Meyer
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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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Christian Meyer. 2009-12-15. The Bivariate Normal Copula. https://doi.org/10.1080/03610926.2011.611316

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