![]() Thus, the final data has the same rank correlation as the multivariate normal data in the first step. The transformations are monotonic, which means that they do not change the rank correlation between the columns. The transformation in the second and third steps are performed on the individual columns of a data matrix. Use inverse CDFs to transform the uniform marginals to whatever distributions you want.Use the standard normal CDF to transform the normal marginals to the uniform distribution.The marginal distributions are all standard normal. ![]()
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