CAlculating Gaussian Copula but shows error
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Nirajan Khatri
el 28 de Sept. de 2020
Respondida: Ameer Hamza
el 28 de Sept. de 2020
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
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Ameer Hamza
el 28 de Sept. de 2020
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');
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