e utilize the statements (
Sklar theorem
1
),(
Sklar theorem 2
) to execute a
program
where
are jointly standard normal variables. For the first step, correlation matrix
of
is the input data and we recover correlated uniform variables
according to the formula (
Sklar theorem 2
).
For the second step, the input data is a collection
of marginal distributions for each variable
.
Thus, we can equip any collection of random variables
given by their marginal distribution with interdependency controlled by a
correlation matrix.
