What reference papers should I look at for transformation to the multivariate normal of unimodal multivariate functions? For example, bivariate exponential dist to bivariate normal dist.
2026-04-01 15:49:10.1775058550
Transformation to the normal
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There's no single "multivariate exponential" - and in general, more than one way of getting multivariate anything, depending on which properties you want it to have. A few cases have a "natural" multivariate extension (in which case everyone will correctly guess the intent) but in general that's not so. In general, the copulas of two multivariate distributions will differ, which presents a number of potential issues (e.g. if you just transform the margins, then any of the usual multivariate exponentials will not be transformed to a multivariate normal).