copula

Constructed Copula Densities for Unusual Events

Start by copying cells from right to C34-I40 except E35-H38.

This creates a feasible solution below, which can be modified, subject to non-negativity.

Final Constructed Copula

Calculations for Spearman's rho

The cells below are densities computed on the basis of the properties of a copula.

If these cells are not non-negative, the adjustable cells in C34:I40 have not violated the constraints.

Approximate solution to the minimization of rho when the core values are derived from the normal copula with linear cor

Normal Copula Densities

Test for non-negative

OK Numerical Values of Normal Copula Density (starting point for constructe

Density Values Derived from Final Constructed Copula

m the normal copula with linear correlation 0.6.

sity (starting point for constructed portion)

ructed Copula