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Mathematical Problems of Computer Science 31, 40{48, 2008.

Copulas of T wo-Dimensional T hr eshold M odels

E vg u e n i A . H a r o u t u n ia n a n d Ir in a A . S a fa r ya n

Institute for Informatics and Automation Problems of NAS of RA.
E-mail: evhar@ipia.sci.am

Abstract

A representation of two-dimensional random vector bivariate distribution by copula
is proposed for the case when one of components is categorizing for the other. The
regression function and the bounds for the Spearman rank correlation coe±cient are
derived.

Refer ences

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