Copulas with Prescribed Correlation Matrix

DOI10.1007/978-3-319-18585-9_25zbMath1333.62048OpenAlexW2294685072MaRDI QIDQ2798596

Gérard Letac, Luc P. Devroye

Publication date: 13 April 2016

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-18585-9_25

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory of statistical distributions (62E10)

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Cites Work

• Comment: Lancaster probabilities and Gibbs sampling
• Lancaster probabilities
• Positivity and the convolution structure for Jacobi series
• Banach algebras for Jacobi series and positivity of a kernel
• Extreme Points in Convex Sets of Symmetric Matrices
• A simple approach to the generation of uniformly distributed random variables with prescribed correlations