pcond: Bivariate copula conditional cdfs and quantile functions

In YafeiXu/CopulaModel: CopulaModel: Dependence Modeling with Copulas

Description

Bivariate copula conditional cdfs and quantile functions

Usage

pcond(v,u,cpar)
qcond(p,u,cpar)

Arguments

v	conditioned value in interval 0,1; could be a vector
u	conditioning value in interval 0,1; could be a vector
p	quantile in interval 0,1; could be a vector
cpar	copula parameter: could be scalar or vector depending on the copula family, could be a matrix with m columns if copula family has m parameters.

Details

Choices appending 'pcond' and 'qcond' are pla, frk, mtcj, mtcjr (reflected mtcj), joe, gum, gumr, gal, hr, fgm, bMO21, bb1, bb2, bb3, bb4, bb4r, bb5, bb6, bb7, bb7r, bb8, bb9, bb10, tev, ipsA, ipsAr, imitlefA, imitlefAr, etc. Use pcondbvncop and pcondbvtcop (or pcondt) for the conditional cdfs of the bivariate normal and t copulas.

See help page for pcop for the abbreviations of the copula names.

Value

conditional cdf value(s) or inverse conditional cdf value(s)

References

Joe H (1997). Multivariate Models and Dependence Concepts. Chapman & Hall.

See Also

pcond cparbound

Examples

u=seq(.1,.9,.2)
v=u
pcondpla(u,v,2)
pcondfrk(u,v,2)
pcondmtcj(u,v,2)
pcondbb1(u,v,c(.5,1.2))
qcondpla(u,v,2)
qcondfrk(u,v,2)
qcondmtcj(u,v,2)
qcondbb1(u,v,c(.5,1.2))
qcondjoe(u,v,2)
qcondgum(u,v,2)
qcondgal(u,v,2)
qcondhr(u,v,2)

YafeiXu/CopulaModel documentation built on May 9, 2019, 11:07 p.m.