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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