Bigsimr.jl Package

The Bigsimr package provides a helpful set of tools for simulating high-dimensional multivariate data with arbitrary marginal distributions. Particularly, Bigsimr implements:

• Simulation of multivariate data via Gaussian copulas (NORTA algorithm)
• Converting between different types of correlations (Pearson, Spearman, and Kendall)
• Computing the nearest positive definite correlation matrix (quadratically convergent algorithm)
• Pearson correlation matching to account for non-linear transformations
• Generating random positive semi-definite correlation matrices