R/bi.cdf.R

In anthonyyazdani/KernelMVA: Kernel density estimation

#' Bivariate CDF estimation
#'
#' @param RV Matrix: Realizations of two random variables.
#' @param q Vector: Quantiles.
#'
#' @return Returns the CDF estimate for the quantiles of interest.
#' @import stats
#' @export
#'
#' @examples bi.cdf(RV = cbind(rnorm(1000),rnorm(1000)), q = c(0,0))
bi.cdf <- function(RV, q){
  T = length(RV[,1])
  hx =(1.06*sd(RV[,1])*T^(-1/5))
  hy = (1.06*sd(RV[,2])*T^(-1/5))
  (1/T)*(t(pnorm((RV[,1]-q[1])/hx, lower.tail = F))%*%pnorm((RV[,2]-q[2])/hy, lower.tail = F))
}