GaussianCopula.h File Reference

Gaussian copula implementation. More...

#include "ICopula.h"
#include "GenericCopula.h"
#include "Matrix.h"
#include "AbstractConfig.h"

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Classes
struct	GaussianCopulaConfig
	Configuration object for a Gaussian copula. More...
class	GaussianCopula
	Gaussian copula based on a correlation matrix. More...

Detailed Description

Gaussian copula implementation.

This header defines:

• GaussianCopulaConfig, a lightweight config object holding the correlation matrix,
• GaussianCopula, a Gaussian copula based on a correlation matrix.

The Gaussian copula is built from a multivariate normal latent vector:

• sample ,
• transform component-wise via the standard normal CDF,
• obtain .

See also

ICopula

GenericCopula

StudentTCopula

Definition in file GaussianCopula.h.