RosenblattGaussian {HMMcopula}R Documentation

Rosenblatt transform for Gaussian copula

Description

Computation of the Rosenblatt transform for the Gaussian copula

Usage

RosenblattGaussian(u, rho)

Arguments

u

(n x d) matrix of pseudos-observations (normalized ranks)

rho

(d x d) correlation matrix, or the correlation coefficient (if, d = 2)

Value

R

Rosenblatt transform


[Package HMMcopula version 1.1.0 Index]