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%% Compute the Gaussian Copula Rank Correlation % %% % Compute the rank correlation for a Gaussian copula with the specified % linear correlation parameter |rho|. % Copyright 2015 The MathWorks, Inc. rho = -.7071; tau = copulastat('gaussian',rho) %% % Use the copula to generate dependent random values from a beta % distribution that has parameters a and b equal to 2. rng default % For reproducibility u = copularnd('gaussian',rho,100); b = betainv(u,2,2); %% % Verify that the sample has a rank correlation approximately equal to |tau|. tau_sample = corr(b,'type','k')