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Is there a way to find the Spearman correlation between two Weibull distributions? I need it as a parameter in a copula function for the joint Weibull distribution.

I learned that using the Pearson correlation, which I can easily obtain from the variances and cross variances of the given spectra, is not reliable with copulas especially when the data is not normally distributed.

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There are many ways to create a bivariate distribution in which both marginals are Weibull. Thus the "spearman correlation between the two" distributions is not well-defined. It would help to quote a source for the statement in your second paragraph. – whuber♦ Mar 23 '11 at 2:56
there are lots of literature that imply this, for example, cesma.usb.ve/~lbravo/co6111/ModellingCopulas.pdf, check section 3. but i will really really appreciate if you can help me with suggestion on how to form a joint weibull distribution that accounts for the correlation between the marginals. right now, I am looking at the possibility of using copulas. thanks so much for looking. – Emsnoel Mar 28 '11 at 11:24

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