I fixed Copulas.jl (in the latest master commit), so that it provides a more accurate error: we rely on Distributions.jl’s implementation of the multivariate Gaussian and Student distributions to handle the complexity behind the Gaussian and Student copulas, and Distributions.jl has no multivariate Gaussian cdf.
Here is a Github issue for this : CDF of Multivariate Normal Distribution · Issue #260 · JuliaStats/Distributions.jl · GitHub
Also, seems relevant there : MVN cdf by blackeneth · Pull Request #114 · JuliaStats/StatsFuns.jl · GitHub
But it does not look like it is going to be fixed soon. If you find somewhere an integration routine that computes the cdf of a multivariate Gaussian, I am willing to include it as a temporary workaround though, until those issues are fixed in StatsFun.jl and Distributions.jl
I oppened an issue myself on Copulas.jl there : Elliptical CDF · Issue #15 · lrnv/Copulas.jl · GitHub to cross-link everything.