Bigsimr.jl

Julia package Bigsimr.jl: Simulate multivariate distributions with arbitrary marginals. A Julia package for simulating high-dimensional multivariate data with a target correlation and arbitrary marginal distributions via Gaussian copula. Bigsimr works with any univariate distribution implemented in Distributions.jl or any user-defined distribution derived from Distributions univariate classes. Additionally, Bigsimr accounts for different target correlations: Pearson: employs a matching algorithm (Xiao and Zhou 2019) to account for the non-linear transformation in the Normal-to-Anything (NORTA) step. Spearman and Kendall: Use explicit transformations (Lebrun and Dutfoy 2009)

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