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Chapter 16 - Copula Illustration

O

Oxymoron

Ton up Member
In the numerical illustration, I'm not quite able to understand how the 3*3 matrix was arrived at. The text says, "The coefficients in this matrix have been determined so as to ensure that the calculated values of x1, x2 and x3 each have a variance of 1, and that the correlations corr(xi , x j ) are equal to rij". How was this done?

Thanks!
 
Have a look at Q&A Bank Question 6.15. This is designed to help you understand where the correlation matrix comes from.
 
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