MATLAB: CAlculating Gaussian Copula but shows error

correlationMATLAB

clc;
N = 1000;
norm_mean = 0;
norm_var = 1;
%generating random variable with standard normal distribution and
%calculating PDF

r1= norm_mean+sqrt(norm_var)*randn(1,N);
%calculating PDF
y1 = pdf('Normal',r1,norm_mean,sqrt(norm_var));
%Random variable 2
r2= norm_mean+sqrt(norm_var)*randn(1,N);
y2 = pdf('Normal',r2,norm_mean,sqrt(norm_var));
%Random Variable 3
r3= norm_mean+sqrt(norm_var)*randn(1,N);
y3 = pdf('Normal',r3,norm_mean,sqrt(norm_var));
%Calculate correlation between columns Y1 and Y2
)
[rho,pval] = corr([y1(:),y2(:)],y3(:),'type','Spearman')
%Calculating correlation between Y1 and Y2 and Y3 using corrcoef
[r,p] = corrcoef(y1(:),y2(:)) %%Cannot calculate it

%calculating Gaussian/Normal copula
u = copularnd('Gaussian',rho,N); %%Cannot calculate it

Best Answer

Why are you specifying y3, when trying to calculate the correlation of y1 and y2. The following line will work fine with copularnd
rho = corr([y1(:),y2(:)],'type','Spearman');