vfclayton {vfcp}

Clayton Copula Variable Given Second One and Copula Probability

Description

v for Clayton copula C(u, v) given probability C(u, v) and u.

Usage

vfclayton(C, u, tht)

Arguments

C

Probability value of the Clayton copula. It can be a vector.

u

The first variable value of the C(u, v). u can be a vector if C is a single. u is a matrix with nrow = length(C) if C is a vector.

tht

Copula parameter

Details

The value of the u must be grater than C.

Value

The value of the second variable depending on the first variable and copula probability value.

Author(s)

Josef Brejcha

Examples

C <- 0.3
tht <- 6
u <- c(0.35, 0.4, 0.45)
v <- vfclayton(C, u, tht)
kop = claytonCopula(tht)
pCopula(cbind(u, v), kop)
#
Cf <- c(0.3, 0.4)
mx <- matrix(c(seq(0.35, 0.45, 0.05), seq(0.5, 0.6, 0.05)),
  nrow = 2, ncol = 3, byrow = TRUE)
rownames(mx) <- Cf
vfclayton(C = Cf, u = mx , tht=7)
#          [,1]      [,2]      [,3]
# 0.3 0.3183261 0.3061926 0.3025859
# 0.4 0.4135555 0.4064530 0.4033610