[ot-users] Normal copula

Anita Laera anita.laera87 at gmail.com
Mon Jan 30 14:56:37 CET 2017


Hi all,
I have a question on the Normal copula, available in OpenTURNS.
I am not an expert in this topic, so I would really appreciate your help on
this.
For Normal copula, the argument is the correlation matrix R (symmetric,
positive and definite).
It is not really clear to me how to choose the correlation coefficients,
when to use just a matrix with certain coefficients and when, from that
matrix, transform it into the Spearmann or Kendall correlation matrix.
And in the end, what is the effect on the parameters? I launched a FORM
calculation with 4 variables, considering first an Independent Copula, and
then a Normal Copula with R[0,1] = 0.2. I can see that the results are
different but I can't really understand how this influences the value that
is assigned to each variable at each iteration. If 2 of the 4 variables are
correlated with a coefficient 0.2, what should I expect?

Thank you in advance for you time.

Kind regards,
Anita
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