/* Empirical Copula (adding randomness) */
/* Notice that the plots of pdf and cdf have no points between the adjacent two points. */
/* We just connect the points just for convenience in the surface plots.                */
new; cls;
n=100;
mu={5 4};
Sig={1   0.9,
     0.9   1};
data=mu+rndn(n,2)*chol(Sig);
x=data[.,1]; y=data[.,2];

U=Cempr(x,y);
print U;
library pgraph;
graphset;
pqgwin auto;
_plctrl=-1;
xy(U[.,1],U[.,2]);



proc Cempr(x,y);
   local n,xi,yj,index,U;
   n=rows(x);
   xi=rankindx(x,1); yj=rankindx(y,1);
   index=xi~yj;
   U=index[rankindx(rndu(n,1),1),.]/n-rndu(n,2)/n;
   retp(U);
endp;