| 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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