T*****w
发帖数: 802 | 1 Two independent random variables uniformly distributed in [0,1]. How do you
transform them, so that they stay uniformly distributed in [0,1], but the
correlation between them becomes \rho.
不知道如何用copula的方法去解?
(另外：类似的题目是如果是两个 normally distributed z1, z2 ~N(0,1),（independently）
可以用 cholesky decomposition 的方法得到
x1=z1
x2=pz1 + sqrt(1-p^2) z2 | z****g
发帖数: 1978 | 2 just plug into normal copula.
and, correlation does not define a copula.
you
the
（independently）
【在 T*****w 的大作中提到】
: Two independent random variables uniformly distributed in [0,1]. How do you
: transform them, so that they stay uniformly distributed in [0,1], but the
: correlation between them becomes \rho.
: 不知道如何用copula的方法去解?
: (另外：类似的题目是如果是两个 normally distributed z1, z2 ~N(0,1),（independently）
: 可以用 cholesky decomposition 的方法得到
: x1=z1
: x2=pz1 + sqrt(1-p^2) z2
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