Is it possible to use t-copula in Matlab for around 450,000 variables? or there is any limitation?
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I see no limitation imposed by the copularnd function when I look at the code. However, the correlation matrix is going to be 450000-by-450000 for this. When I try to create that matrix, I run out of memory. If you do manage to create it, I wouldn't be surprised to find that copularnd needs to create other temporary variables of a comparable size as it tries to do its thing.