expcondinv function

Inverse conditional expectation for a vector of probabilities

This function computes the inverse conditional expecatation 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.

expcondinv(u, family, cpar, rot = 0, margin, subs = 1000, eps = 1e-04)

Arguments

• u: conditional expectation
• family: copula model: "gaussian" , "t" , "clayton" "joe", "frank" , "gumbel", "plackett"
• cpar: copula parameter
• rot: rotation: 0 (default), 90, 180 (survival), or 270
• margin: marginal distribution function of the response
• subs: number of subdivisions for the integrals (default=1000)
• eps: precision required

Returns

• minv: Inverse conditional expectation

Author(s)

Pavel Krupskii and Bruno N. Remillard