MATLAB: Random normal (0,1) correlated by copulas

Question

Hi,

I created a simulation of random variables correlated by copulas in Matlab, using ksdensity function.

Now I am trying to simulate several N(0,1) distributions, but I want them to be intercorrelated by the same copulas.

How can I insert the copula parameter in normrnd function?

Thank you very much,

Answer 1

The usual idea is that you apply your inverse probability distributions to the marginals (each column) of the copularnd results. In your case, if all variables are to have a standard normal distribution, you can just apply norminv to the entire array.