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I have been stuck on the followng quesiton,please help.

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We hope to generate two correlated random variables X and Y such that: X Exp(lambda), Y Weibull( alpha; beta ), with lambda= 2, alpha= 2, beta= 3: Do the following for three diff erent values for the correlation: X;Y = 0.8; 0.2 and -0.8
(a) Use a Gaussian copula to generate N = 105 independent (X; Y ) pairs and estimate the correlation using the simulated data.
(b) Plot all (X; Y ) pairs. Verify that the marginal distributions look appropriate. (In MATLAB use command \histogram(X)" or \scatterhist(X,Y)")

Answers (1)

Bernhard Suhm
Bernhard Suhm on 23 Apr 2018
It's not our role to help solve course problems here, but maybe copularnd and corr will let you do what you need.

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