I am still not getting it. 
I am trying to understand multivariate distributions and copulas. In the beginning of each article it is said that the observed data must be transformed to uniform or frechet distribution by means of probability integral transform. Apparently this is something easy and trivial and a standard procedure in introductory statistics. Well, I have some books in statistics of different degrees of complexity but unfortunately I cannot find the answer there. All examples are only about how to generate a random sample with desired (always exponential) distribution.
Now, I have two variables X and Y and I want to transform them to Frechet or uniform. I was just thinking, if this is so simple and trivial as all stat books say, then, it must exist a simple function for it in R. 
 
 
P.s. @Rolf, I would like to have it as a homework but I am afraid I am too old for a school.

Rolf Turner <rolf@math.unb.ca> wrote:
You wrote:

> Dear R-Users,
> 
> I have a question that bothers me in the last few days. It is
> supposed to be easy but I can't come up with a solution. Are there
> any functions in R dealing with transforming empirical and parametric
> distributions? I have two data sets of observed variables that I want
> to transform to Frechet and Uniform distribution. I would appreciate
> if someone could inform me about R-functions for this purpose or
> enligthen me how to do it by myself.
> 
> Thank you very much in advance,
> Viola Rossini

Is this a homework question?

cheers,

Rolf Turner
rolf@math.unb.ca



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