Can Simetar© simulate multivariate probability distributions?
Simetar© can simulate multivariate normal and several non-normal probability distributions. Simetar© uses the standard correlation matrix (or the rank correlation matrix) to simulate correlated uniform standard deviates which are then used in the inverse transform of any of the 40+ probability distributions supported by Simetar© to simulate correlated non-normal random variables. For example, a multivariate normal variable is simulated with =NORM(mean, std dev, CUSD) where CUSD is a correlated uniform standard deviate calculated with Simetar’s =CUSD(correlation matrix) array function. This procedure is one method to generate a multivariate normal copula.
