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Copula and cholesky
Can any please explain me what is the difference between cholesky and copula?.
Copula and cholesky
I don't really know where to begin! By "cholesky", I guess you mean the Cholesky decomposition of a symmetric, positive-definite matrix. This is simply a linear algebra tool that can help, for example, in the simulation of linearly dependent random variates. A copula is a special type of multivariate distribution. In particular, all the one-dimensional marginals of a copula are standard uniform random variables. Copulas are frequently used in the modelling of non-linear dependence.Start by looking at the wikipedia pages.