Tag Info

New answers tagged


Just keep in mind that Gaussian marginals with Gaussian copula is nothing more than the multivariate Gaussian distribution (details e.g. here). For t-marginals with t-copula (with the same degree of freedom) you get the multivariate t-distribution. Both multivariate distributions are characterized by their covariance matrix. The t-distribution has the ...


You can express the Normal distribution by Sklar's Theorem in terms of Gaussian Marginals and Gaussian Copula as follows: $$F(x_1,...,x_n)=C(F(x_1),...,F(x_n))=C^{Gau}(N(x_1),...,N(x_n))$$ So the distribution equals the copula function with the respective inverse marginals as arguments. You can aswell combine any types of Copula and (continuous) different ...

Top 50 recent answers are included