hkdecop {kdecopula} | R Documentation |
H-function and inverse of a kdecop()
fit
Description
Evaluates the h-function (or its inverse) corresponding to a kdecopula
object. H-functions are conditional distribution functions obtained by
integrating the copula density w.r.t. to one of its arguments (see also
VineCopula::BiCopHfunc()
.
Usage
hkdecop(u, obj, cond.var, inverse = FALSE)
Arguments
u |
|
obj |
|
cond.var |
integer; |
inverse |
logical; indicates whether the h-function or its inverse shall be calculated. |
Value
A length n
vector of the (inverse) h-function evaluated at
u
.
Author(s)
Thomas Nagler
Examples
## load data and transform with empirical cdf
data(wdbc)
udat <- apply(wdbc[, -1], 2, function(x) rank(x) / (length(x) + 1))
## estimation of copula density of variables 5 and 6
fit <- kdecop(udat[, 5:6])
plot(fit)
## evaluate h-function estimate and its inverse at (u1|u2) = (0.123 | 0.321)
hkdecop(c(0.123, 0.321), fit, cond.var = 2)
hkdecop(c(0.123, 0.321), fit, cond.var = 2, inverse = TRUE)
[Package kdecopula version 0.9.2 Index]