random normal (0,1) correlated by copulas
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Hi,
I created a simulation of random variables correlated by copulas in Matlab, using ksdensity function.
Now I am trying to simulate several N(0,1) distributions, but I want them to be intercorrelated by the same copulas.
How can I insert the copula parameter in normrnd function?
Thank you very much,
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Tom Lane
2015년 4월 15일
The usual idea is that you apply your inverse probability distributions to the marginals (each column) of the copularnd results. In your case, if all variables are to have a standard normal distribution, you can just apply norminv to the entire array.
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