H_inv: Inverse survival function if Monte-Carlo approximation is set to TRUE in liouv.maxim

Description

The function is used internally for optimization.

Usage

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H_inv(u, alphavec, family, theta, MC = 1e+05, TRUNC = F)

Arguments

u

data at which to compute the survival inverse

alphavec

vector of Dirichlet allocations (must be a vector of integers)

family

family of the Liouville copula. Either "clayton", "gumbel", "frank", "AMH" or "joe"

theta

parameter of the corresponding Archimedean copula

MC

number of Monte-Carlo points for evaluation

trunc

whether to truncate at low quantile. Will be based on numerical root finding for the lower 0.025 fraction of the data

Value

Inverse survival function values

Examples

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u <- rliouv(n = 100, family = "frank", alphavec <- c(2,3), theta = 1)
H_inv(u=u, family="frank", alphavec=c(2,3), theta=2)
#Difference between true value and approximation (can be large depending on family)
sum(abs(H_inv(u=u, family="frank", alphavec=c(2,3), theta=2)-
isliouvm_m(u=u, family="frank", alphavec=c(2,3), theta=2)))

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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