VoseCopulaMultiNormal | Vose Software

VoseCopulaMultiNormal

See also: Copulas in ModelRisk, Bivariate Copula window, Vose Multivariate Copula, Elliptical copulas - Normal and T

{=VoseCopulaMultiNormal({correlation_matrix})}

Example model

Array function that models a multivariate Normal copula.

  • correlation_matrix - a nxn array that contains a valid correlation matrix.

The output is an nx1 or 1xn array of with randomly generated copula values between [0,1],with n being the number of variables to be correlated. Link the U-parameter of distribution functions to these to generate values of these distributions correlated by this copula.

 

 

For the bivariate version of this copula, see VoseCopulaBiNormal.

VoseFunctions for this copula

VoseCopulaMultiNormal generates values from this distribution or calculates a percentile.

VoseCopulaMultiNormalFit fits this copula to data.

VoseCopulaMultiNormalFitP returns the parameter(s) of this copula fitted to data.

 

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