R code to find the inverse of Cumulative Distribution Function of a Multivariate Joint Distribution (Copula)

Question

I am new on R and and I am working with Copulas.

I have read the R documentation and so far I understood how to create a copula and to calculate the PdF and CDF.

#Generate Normal Copula
coef_ <- 0.7
mycopula <- normalCopula(coef_, dim = 2)
v <- rCopula(4000, mycopula)

# Compute the density
pdf_ <- dCopula(v, mycopula)

# Compute the CDF
cdf <- pCopula(v, mycopula)

However, I need a function to retrieve the inverse of the CDF of the Multivariate Normal Distribution, as I need to find the 99° percentile.

Anyone knows how to do that? Thanks!

Answer 1

I am not sure if you are still interested. However, you can just use qCopula function. Or simply qnorm(v) . This will transfer your data from copula data to original data with standard normal margins.