rvinepcond: Copula Conditional Distributions
In vincenzocoia/copsupp: Vine Copulas made easy

These functions compute the conditional distributions of the last variable, given the other variables in the vine.

1	rvinepcond(parvec, udat, A, ntrunc, pcondmat, np)

parvec = vector of parameters of pair-copulas udat = nxd matrix with uniform scores A = dxd vine array with 1:d on diagonal ntrunc = truncated level, assume >=1 pcondmat = matrix of names of conditional cdfs for trees 1,...,ntrunc (assuming only one needed for permutation symmetric pair-copulas) pcondmat is empty for diagonal and lower triangle, and could have ntrunc rows or be empty for rows ntrunc+1 to d-1 np = dxd where np[ell,j] is size for parameter th[ell,j] for pair-copula in tree ell, variables j and A[ell,j] np=0 on and below diagonal Output: return C_2|1(u2|u1), C_3|12(u3|u1,u2), ... C_d|1..d-1(ud|u1,...u[d-1]) [This function is modification of rvinellkv.trunc2 in CopulaModel]

Harry Joe

vincenzocoia/copsupp documentation built on Aug. 23, 2020, 7:37 a.m.