VoseCopulaMultiT

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

{=VoseCopulaMultiT(nu,{correlation_matrix})}

Example model

Array function that models a multivariate T copula.

  • Nu - Number of degrees of freedom. Must be a positive integer.

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

The output is an 1xn or nx1 array of 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 VoseCopulaBiT.

VoseFunctions for this copula

VoseCopulaMultiT generates values from this distribution or calculates a percentile.

VoseCopulaMultiTFit fits this copula to data.

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

 

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