gaussian_copula_density: Gaussian copula density
Description
Gaussian copula density
Usage
gaussian_copula_density(zeta, R, Rinv)
Value
A numeric vector, each coordinate \(i\) corresponding to the evaluation of the Gaussian copula density function at observation \(\code{zeta}_i\).
Arguments
- zeta
the matrix of probit-transformed observations.
- R
the correlation matrix.
- Rinv
the inverse correlation matrix.