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]