prob | R Documentation |
Compute probabilities of a d-
dimensional random vector U
distributed according to a given copula x
to
fall in a hypercube (l,u]
, where l
and u
denote the
lower and upper corners of the hypercube, respectively.
prob(x, l, u)
x |
copula of dimension |
l , u |
|
A numeric
in [0,1]
which is the probability
P(l_i< U_i \le u_i)
.
pCopula(.)
.
## Construct a three-dimensional nested Joe copula with parameters
## chosen such that the Kendall's tau of the respective bivariate margins
## are 0.2 and 0.5.
theta0 <- copJoe@iTau(.2)
theta1 <- copJoe@iTau(.5)
C3 <- onacopula("J", C(theta0, 1, C(theta1, c(2,3))))
## Compute the probability of a random vector distributed according to
## this copula to fall inside the cube with lower point l and upper
## point u.
l <- c(.7,.8,.6)
u <- c(1,1,1)
prob(C3, l, u)
## ditto for a bivariate normal copula with rho = 0.8 :
prob(normalCopula(0.8), c(.2,.4), c(.3,.6))
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