mlysy/GaussCop: Utilities for the Gaussian Copula Distribution

Provides functions for density evaluation and both joint and conditional random sampling from a Gaussian Copula distribution with arbitrary margins. This is achieved by storing univariate marginal distributions as extended density ('xDensity') objects which provide 'd/p/q/r' methods, and which can be estimated from data using a variety of parametric, nonparametric, and semiparametric approaches.

install.packages("remotes")
remotes::install_github("mlysy/GaussCop")