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I am looking for a way to calculate in the R software, the distribution, the density and the derivatives (of order 1, 2) partial of a Gaussian copula of dimension 3. Indeed, I have three variables (u1, u2 and u3 ) with real values in [0,1], the three correlations r2,r2 and r3 from a kinship matrix. I am looking for the distribution of the copula C(u1, u2, u3), its density and its partial derivatives d/d_u1{ C(u1, u2, u3)}, d^2/d_u1, d_u2{ C(u1, u2, u3)}. Thank you in advance for your assistance.

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  • $\begingroup$ Hi! Could you provide the exprssion of the copula? Write it directly in your post. $\endgroup$
    – utobi
    Commented Jan 17, 2023 at 21:08
  • $\begingroup$ I don't know how to write in latex on this site but you can find the definition of a Gaussian copula on page 5 of the following document columbia.edu/~mh2078/QRM/Copulas.pdf. However, it is the R functions that could help me to calculate the different aforementioned quantities that interest me. I was using Vinecopula packages for bivariate cases. Thanks $\endgroup$
    – Sessi
    Commented Jan 18, 2023 at 2:19
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    $\begingroup$ "it is the R functions ... that interest me" suggests that your question might potentially be off topic. See stats.stackexchange.com/help/on-topic in the section that starts with the highlighted word Programming. $\endgroup$
    – Glen_b
    Commented Jan 18, 2023 at 2:29
  • $\begingroup$ I do not think so. I'm just trying to guide the attempts to answer so you don't waste your time on problems for which I already have a solution. Thanks $\endgroup$
    – Sessi
    Commented Jan 18, 2023 at 3:07

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