hinverse-methods: Methods for the Inverse of the h functions
Description
The $h^{-1}$ function represents the inverse of the $h$ function with
respect to its first argument. It should be defined for every copula used
in the pair-copula constructions or evaluated numerically.
Usage
hinverse(copula, u, v)
Arguments
copula
A bivariate copula object.
u
Numeric vector with values in $[0,1]$.
v
Numeric vector with values in $[0,1]$.
References
Aas, K. and Czado, C. and Frigessi, A. and Bakken, H. (2009)
Pair-copula constructions of multiple dependence.
Insurance: Mathematics and Economics44, 182--198.
Schirmacher, D. and Schirmacher, E. (2008)
Multivariate dependence modeling using pair-copulas.
Enterprise Risk Management Symposium, Chicago.