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Modeling inverse relationship with gumbel copula

To: <s-news@lists.biostat.wustl.edu>
Subject: Modeling inverse relationship with gumbel copula
From: "Horace Tso" <Horace.Tso@pgn.com>
Date: Fri, 21 Apr 2006 15:34:38 -0700
Dear list,

I know it's late Friday afternoon (already night time on the east coast), I got 
stuck on this simple problem I couldn't resist going out to the list for 
advice. 

I want to model inverse relationship between two marginals with the gumbel 
copula. Say, x is lognormal and y is normal. Since gumbel's delta must be 
greater than one, how do I specify the equivalence of a negative correlation? 

Thanks in advance.

Horace W. Tso







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