[bug] Change from Id check to diagonal check (#192)

Project.toml

@@ -9,6 +9,7 @@ Cubature = "667455a9-e2ce-5579-9412-b964f529a492"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
 InteractiveUtils = "b77e0a4c-d291-57a0-90e8-8db25a27a240"
+LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 LogExpFunctions = "2ab3a3ac-af41-5b50-aa03-7779005ae688"
 MvNormalCDF = "37188c8d-bc69-4638-b057-733e744175ec"
 PrecompileTools = "aea7be01-6a6a-4083-8856-8a6e6704d82a"

src/Copulas.jl

@@ -15,6 +15,7 @@ module Copulas
     import Combinatorics
     import LogExpFunctions
     import QuadGK
+    import LinearAlgebra
 
     # Standard copulas and stuff. 
     include("utils.jl")

src/EllipticalCopulas/GaussianCopula.jl

@@ -30,13 +30,16 @@ cdf(C,u) # to get the distribution function
 Ĉ = fit(GaussianCopula,u) # to fit on the sampled data. 
 ```
 
+GaussianCopulas have a special case: 
+- When `isdiag(Σ)`, the constructor returns an `IndependentCopula(d)`
+
 References:
 * [nelsen2006](@cite) Nelsen, Roger B. An introduction to copulas. Springer, 2006.
 """
 struct GaussianCopula{d,MT} <: EllipticalCopula{d,MT}
     Σ::MT
     function GaussianCopula(Σ) 
-        if Σ == one(Σ)
+        if LinearAlgebra.isdiag(Σ)
             return IndependentCopula(size(Σ,1))
         end
         make_cor!(Σ)