This post will present the wonderful pairs.panels function of the psych package  that I discovered recently to visualise multivariate random numbers.
Here is a little example with a Gaussian copula and normal and log-normal marginal distributions. I use pairs.panels to illustrate the steps along the way.
I start with standardised multivariate normal random numbers:
library(psych) library(MASS) Sig <- matrix(c(1, -0.7, -.5, -0.7, 1, 0.6, -0.5, 0.6, 1), nrow=3) X <- mvrnorm(1000, mu=rep(0,3), Sigma = Sig, empirical = TRUE) pairs.