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Normal correlation coefficient of non-normal variables using piece-wise linear approximation

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  • Dimitris Kugiumtzis
  • Efthymia Bora-Senta

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Suggested Citation

  • Dimitris Kugiumtzis & Efthymia Bora-Senta, 2010. "Normal correlation coefficient of non-normal variables using piece-wise linear approximation," Computational Statistics, Springer, vol. 25(4), pages 645-662, December.
    • Handle: RePEc:spr:compst:v:25:y:2010:i:4:p:645-662
    DOI: 10.1007/s00180-010-0195-3
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    Cited by:

    1. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2017. "Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method," Papers 1704.00416, arXiv.org, revised Jun 2019.

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