Extract the copula from a distributionΒΆ

In this example we are going to retrieve the copula from a multidimensional distribution.

[2]:

from __future__ import print_function
import openturns as ot

[7]:

# create a multivariate gaussian distribution
mu = [0.0] * 2
sigma = [1.0]*2
R = ot.CorrelationMatrix(2)
R[0, 1] = 0.25
distribution = ot.Normal(mu, sigma, R)
print(distribution)

Normal(mu = [0,0], sigma = [1,1], R = [[ 1    0.25 ]
 [ 0.25 1    ]])

[8]:

# extract the copula
copula = distribution.getCopula()
print(copula)

NormalCopula(R = [[ 1    0.25 ]
 [ 0.25 1    ]])