Question

Create an Excel spreadsheet to produce a chart similar to Figure 11.5 showing samples from a bivariate Student’s t-distribution with four degrees of freedom where the correlation is 0.5. Next suppose that the marginal distributions of V1 and V2 are Student’s t with four degrees of freedom but that a Gaussian copula with a copula correlation parameter of 0.5 is used to define the correlation between the two variables. Construct a chart showing samples from the joint
distribution. Compare the two charts you have produced.


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  • CreatedJuly 30, 2015
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