The inverse Rosenblatt transformation is used to transform uniform
pseudo-observations back to the original scale of the data, preserving the
copula structure. Adapted from rvinecopulib::inverse_rosenblatt().
Usage
inverse_rosenblatt(u, model, cores = 1)
Arguments
- u
A numeric matrix or data.frame of pseudo-observations in \([0,1]^d\).
- model
A vinecop object (from rvinecopulib) describing the
dependence structure.
- cores
Integer; number of threads to use. Default: 1.
Value
A numeric matrix of the same dimension as u, containing
transformed values in the original scale of the data.
