copBasic (version 1.5.1)

COPinv: The Inverse of a Copula for V with respect to U

Description

Compute the inverse of a copula for $V$ with respect to $U$ or $$t = \mathbf{C}(u=U,v)\mbox{,}$$ and solving for $v$.

Usage

COPinv(cop=NULL, u, t, para=NULL, ...)

Arguments

cop

A copula function,

u

A nonexceedance probability in $X$ direction,

t

A nonexceedance probability in $t$ direction,

para

Vector of parameters or other data structure, if needed, to pass to the copula, and

...

Additional arguments to pass.

Value

• The value for $v$ is returned.

References

Nelson, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.

See Also

COP, COPinv2, level.curvesCOP

Examples

level.curvesCOP(cop=P, para=NULL, delt=.02) # Product copula

level.curvesCOP(cop=PSP, para=NULL) # PSP copula


# Produce the level curves for the Plackett copula for
# a theta parameter < 0 (positive association)
para  <- c(0.0001)
level.curvesCOP(cop=PLACKETTcop, para=para)


# Produce the level curves for the Plackett copula for
# a theta parameter > 0 (positive association)
para  <- c(10)
level.curvesCOP(cop=PLACKETTcop, para=para)

# Now create a composite copula
para <- list(cop1=PLACKETTcop,  cop2=PSP,
             para1=c(0.4),    para2=NULL,
             alpha=0.6,        beta=0.09)
level.curvesCOP(cop=composite2COP, para=para, delt=.1)