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1answer
22 views

Product Distribution with Copula

I am trying to create a joint probability function that is of the form: f(a,b,c)=f1(a).f2(b).f3(c).copula where ...
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0answers
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Simulating from CopulaDistribution

I am currently using CopulaDistribution and have been generating RandomVariates from this distribution. Say my code looks sort of like this (this is much simpler) ...
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0answers
78 views

Copula - Correlation or Covariance

Can someone explain to me why the CopulaDistribution function with a "Multinormal" kernal asks for the covariance matrix instead of the correlation matrix. Just by looking at the formula for copula, ...
2
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1answer
80 views

Is random number generation based on Farlie-Gumbel-Morgenstern copula wrong?

I am constructing a bivariate Farlie-Gumbel-Morgenstern distributions with Normal and exponential marginal as follows: ...
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2answers
79 views

Transforming a CopulaDistribution only works with the Product Copula

What I want to do: 1) Define a joint distribution function using CopulaDistribution 2) then transform it with TransformedDistribution 3) to get the new Culmulative Distribution Function (CDF). The ...
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2answers
124 views

Best way to represent a joint distribution

The motivation for this question is producing a distribution that produces the gender and age of an individual when the distribution of ages depends on gender. Suppose I want a distribution which, ...