VoseCopulaBiNormal

See also: Copulas in ModelRisk, Bivariate Copula window, Vose Multivariate Copula, VoseCopulaMultiNormal, Elliptical copulas - Normal and T

{=VoseCopulaBiNormal(Correlation)}

Example model

Array function that returns random variables from a bivariate Normal copula.

  • Correlation - linear correlation coefficient. Must be on [-1,1]

The output is an array of two cells, with randomly generated copula values between [0,1]. Link the U-parameter of distribution functions to these to generate values of these distributions correlated by this copula.

 

Note that a negating the sign of the covariance parameter corresponds to changing the direction of the copula.

For the multivariate version of this copula see VoseCopulaMultiNormal.

Example: correlating variables with a bivariate Normal copula

For example, to generate a normal(0,1) and a beta(2,1) value correlated by a Normal(0.5) copula, you would do the following:

  • Select the A1 and B1 spreadsheet cells.

  • Type =VoseCopulaBiNormal(5) in the Excel formula bar and press CTRL+SHIFT+ENTER - Excel now inserts this as an array function over the two selected cells, indicated by curly brackets.

  • Insert =VoseNormal(0,1,A1) in the cell A2, and =VoseBeta(2,1, B1) in the cell B2. The cell references are U parameters that refer to the copula values generated in the first cell.

  • Now the A2 and B2 cell contain random values correlated by the copula.

VoseFunctions for this copula

VoseCopulaBiNormal generates values from this distribution or calculates a percentile.

VoseCopulaBiNormalFit fits this copula to data.

VoseCopulaBiNormalFitP returns the parameter(s) of this copula fitted to data.

 

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