Suppose that I have two univariate marginal distributions, say $F$ and $G$, which I can simulate from. Now, construct their joint distribution using a Gaussian copula, denoted $C(F,G;\Sigma)$. All the parameters are known.

Is there a non-MCMC method for simulating from this copula?

  • 10
    $\begingroup$ Assuming $\Sigma_{ii} = 1$ for $i=1,2$, of course: Generate $(X,Y) \sim \mathcal N(0,\Sigma)$. Take $F^{-1}(\Phi(X))$ and $G^{-1}(\Phi(Y))$. All done. $\endgroup$
    – cardinal
    Sep 17, 2012 at 12:57
  • 1
    $\begingroup$ R also has a package called "copula", which can simulate most standard copulas. $\endgroup$
    – semibruin
    Jul 21, 2013 at 20:18

1 Answer 1


There is a very simple method to simulate from the Gaussian copula which is based on the definitions of the multivariate normal distribution and the Gauss copula.

I'll start by providing the required definition and properties of the multivariate normal distribution, followed by the Gaussian copula, and then I'll provide the algorithm to simulate from the Gauss copula.

Multivariate normal distribution
A random vector $X = (X_1, \ldots, X_d)'$ has a multivariate normal distribution if $$ X \stackrel{\mathrm{d}}{=} \mu + AZ, $$ where $Z$ is a $k$-dimensional vector of independent standard normal random variables, $\mu$ is a $d$-dimensional vector of constants, and $A$ is a $d\times k$ matrix of constants. The notation $\stackrel{\mathrm{d}}{=}$ denotes equality in distribution. So, each component of $X$ is essentially a weighted sum of independent standard normal random variables.
From the properties of mean vectors and covariance matrices, we have ${\rm E}(X) = \mu$ and ${\rm cov}(X) = \Sigma$, with $\Sigma = AA'$, leading to the natural notation $X \sim {\rm N}_d(\mu, \Sigma)$.

Gauss copula
The Gauss copula is defined implicitely from the multivariate normal distribution, that is, the Gauss copula is the copula associated with a multivariate normal distribution. Specifically, from Sklar's theorem the Gauss copula is $$ C_P(u_1, \ldots, u_d) = \boldsymbol{\Phi}_P(\Phi^{-1}(u_1), \ldots, \Phi^{-1}(u_d)), $$ where $\Phi$ denotes the standard normal distribution function, and $\boldsymbol{\Phi}_P$ denotes the multivariate standard normal distribution function with correlation matrix P. So, the Gauss copula is simply a standard multivariate normal distribution where the probability integral transform is applied to each margin.

Simulation algorithm
In view of the above, a natural approach to simulate from the Gauss copula is to simulate from the multivariate standard normal distribution with an appropriate correlation matrix $P$, and to convert each margin using the probability integral transform with the standard normal distribution function. Whilst simulating from a multivariate normal distribution with covariance matrix $\Sigma$ essentially comes down to do a weighted sum of independent standard normal random variables, where the "weight" matrix $A$ can be obtained by the Cholesky decomposition of the covariance matrix $\Sigma$.

Therefore, an algorithm to simulate $n$ samples from the Gauss copula with correlation matrix $P$ is:

  1. Perform a Cholesky decomposition of $P$, and set $A$ as the resulting lower triangular matrix.
  2. Repeat the following steps $n$ times.
    1. Generate a vector $Z = (Z_1, \ldots, Z_d)'$ of independent standard normal variates.
    2. Set $X = AZ$
    3. Return $U = (\Phi(X_1), \ldots, \Phi(X_d))'$.

The following code in an example implementation of this algorithm using R:

## Initialization and parameters 
P <- matrix(c(1, 0.1, 0.8,               # Correlation matrix
              0.1, 1, 0.4,
              0.8, 0.4, 1), nrow = 3)
d <- nrow(P)                             # Dimension
n <- 200                                 # Number of samples

## Simulation (non-vectorized version)
A <- t(chol(P))
U <- matrix(nrow = n, ncol = d)
for (i in 1:n){
    Z      <- rnorm(d)
    X      <- A%*%Z
    U[i, ] <- pnorm(X)

## Simulation (compact vectorized version) 
U <- pnorm(matrix(rnorm(n*d), ncol = d) %*% chol(P))

## Visualization
pairs(U, pch = 16,
      labels = sapply(1:d, function(i){as.expression(substitute(U[k], list(k = i)))}))

The following chart shows the data resulting from the above R code.

enter image description here

  • $\begingroup$ Where F and G appear after that ? $\endgroup$ Aug 5, 2015 at 16:30
  • $\begingroup$ @Were_cat, what do you mean? $\endgroup$
    – QuantIbex
    Aug 7, 2015 at 7:30
  • $\begingroup$ In the original question there is a mention of F and G, two univariate distribution. How do you go from copulas to rv with F and G margins ? $\endgroup$ Aug 7, 2015 at 9:01
  • $\begingroup$ @Were_cat, ok so you want to convert $U_1$ and $U_2$ which have uniform distributions on $(0, 1)$ to, say, $Y_1$ and $Y_2$ which follow respectively distributions $F$ and $G$. To do so, simply set $Y_1 = F^{-1}(U_1)$ and $Y_2 = G^{-1}(U_2)$, where $F^{-1}$ and $G^{-1}$ denote the reciprocal functions of $F$ and $G$. $\endgroup$
    – QuantIbex
    Aug 8, 2015 at 12:34
  • 3
    $\begingroup$ @Were_cat, to quote the wikipedia copula page: "a copula is a multivariate probability distribution for which the marginal probability distribution of each variable is uniform. Copulas are used to describe the dependence between random variables." $\endgroup$
    – QuantIbex
    Aug 9, 2015 at 11:54

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