expcond function

Conditional expectation

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.

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)

Returns

• mest: Conditional expectations

Examples

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

Author(s)

Pavel Krupskii and Bruno N. Remillard