April 3rd, 2015, 1:45 pm
the choice of copula is independent from the choice of marginals,the idea is to generate uniform random vectors with dependenceand then applying inverse of a distribution function to the uniform marginals based on theory (Inversion method ) to get a multivariate vector with different marginals.for the t coupla it is something like this.let's say you want to generate a vector from the t copula with dependence rho=0.5 ,matirx =[1 rho;rho 1];with 4 -degrees of freedom.after simulating the the bivariate vector apply the T_CDF with 4-degrees of freedom to the bivariate vector you simulated in the earlier step.this will generate your uniform bivariate vector ,now apply the Inversion method to the marginals with your choiceof marginal distribution taking into account the distribution parameters,you will get a bivariate vector with an imposed T copula and the choice of marginals you made.