Continuous and discrete variables with a copula?

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Thread starter bradyj7
Start date Nov 2, 2012
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Continuous Discrete Variables

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bradyj7

Thread starter
Nov 2, 2012

Hi,

I have 3 correlated variables that I wish to model with a copula function. 2 of the variables are continuous and 1 is discrete.

My question is, generally speaking can you model continuous and discrete variables within the same copula? Yes/No?

Thanks

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bpet

Nov 2, 2012

Yes - Sklar's theorem and its converse still applies.

Continuous and discrete variables with a copula?

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Continuous and discrete variables with a copula?

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