mages' blog

This post will present the wonderful pairs.panels function of the psych package [1] that I discovered recently to visualise multivariate random numbers.

Here is a little example with a Gaussian copula and normal and log-normal marginal distributions. I use pairs.panels to illustrate the steps along the way.

I start with standardised multivariate normal random numbers:

library(psych)
library(MASS)
Sig <- matrix(c(1, -0.7, -.5,
                -0.7, 1, 0.6,
                -0.5, 0.6, 1), 
                nrow=3)
X <- mvrnorm(1000, mu=rep(0,3), Sigma = Sig, 
             empirical = TRUE)  
pairs.panels(X)