Not a member of Pastebin yet?
Sign Up,
it unlocks many cool features!
- Sigma <- matrix(c(1, 0.5, 0.5, 1), nrow = 2)
- X <- MASS:::mvrnorm(200000, mu = rep(0, 2), Sigma = Sigma, empirical = T)
- cov(X)
- [,1] [,2]
- [1,] 1.0 0.5
- [2,] 0.5 1.0
- P <- pnorm(X, lower.tail = FALSE)
- cov(P)
- [,1] [,2]
- [1,] 0.08329436 0.04028184
- [2,] 0.04028184 0.08335959
- qt.scaled <- function (p, df, mean = 0, sd = 1, ncp, lower.tail = F, log.p = FALSE)
- {
- mean + sd * stats::qt(p, df, ncp = ncp, log.p = log.p)
- }
- Z1 <- qt.scaled(P[, 1], df = 5, mean = 5, sd = 1)
- Z2 <- qt.scaled(P[, 2], df = 10, mean = 5, sd = 2)
- Z <- cbind(Z1, Z2)
- cov(Z)
- Z1 Z2
- Z1 1.678528 1.421597
- Z2 1.421597 5.000570
Add Comment
Please, Sign In to add comment