From: Multivariate distributions of correlated binary variables generated by pair-copulas
Case | Pair-copulas | Dependence |
---|---|---|
1 | All Gaussian | γ12=0.752,γ23=0.607 |
 |  | \(\phantom {\dot {i}\!}\gamma _{13|Y_{2}=0}=0.480, \gamma _{13|Y_{2}=1}=0.233\) |
2 | All Clayton | α12=2,α23=1.5 |
 |  | \(\alpha _{13|Y_{2}=0}=\alpha _{13|Y_{2}=1}=0.4\) |
3 | All Frank | α12=α23=1.85 |
 |  | \(\alpha _{13|Y_{2}=0}=0.95, \alpha _{13|Y_{2}=1}=0.85\) |
4 | All Gumbel | α12=α23=10 |
 |  | \(\alpha _{13|Y_{2}=0}=\alpha _{13|Y_{2}=1}=4\) |
5 | Gaussian for marginals | γ12=0.752,γ23=0.607 |
 | Frank for conditionals | \(\phantom {\dot {i}\!}\alpha _{13|Y_{2}=0}=0.95, \alpha _{13|Y_{2}=1}=0.85\) |
6 | All Independent | Â |