expcond {CopulaGAMM}

Conditional expectation

Description

This function computes the conditional expectation for a given copula family and a given margin variables for a clustered data model. The clusters ar3e independent but the observations with clusters are dependent, according to a one-factor copula model.

Usage

expcond(w, family, rot = 0, cpar, margin, dfC = NULL, subs = 1000)

Arguments

w

value of the conditioning random variable

family

copula model: "gaussian" , "t" , "clayton" ,"joe", "frank" , "gumbel", "plackett"

rot

rotation: 0 (default), 90, 180 (survival), or 270

cpar

copula parameter

margin

marginal distribution function

dfC

degrees of freedom for the Student copula (default is NULL)

subs

number of subdivisions for the integrals (default=1000)

Value

mest

Conditional expectations

Author(s)

Pavel Krupskii and Bruno N. Remillard

Examples

margin = function(x){ppois(x,10)}
expcond(0.4,'clayton',cpar=2,margin=margin)