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arxiv: 1004.3146 · v1 · submitted 2010-04-19 · 🧮 math.ST · stat.TH

Copulas in three dimensions with prescribed correlations

classification 🧮 math.ST stat.TH
keywords three-dimensionalbetacopulascorrelationdistributionarbitraryattainedcorrelations
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Given an arbitrary three-dimensional correlation matrix, we prove that there exists a three-dimensional joint distribution for the random variable $(X,Y,Z)$ such that $X$,$Y$ and $Z$ are identically distributed with beta distribution $\beta_{k,k}(dx)$ on $(0,1)$ if $k\geq 1/2$. This implies that any correlation structure can be attained for three-dimensional copulas.

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