The Bivariate Normal Copula

Christian Meyer
2013 Communications in Statistics - Theory and Methods  
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.
doi:10.1080/03610926.2011.611316 fatcat:flg7kg4dk5cmvfcjjhoawrfzpu