qcond function

Inverse conditional cdf

This function computes the quantile of conditional cdf C(U|v) for a copula C

qcond(w, v, family, cpar, rot = 0)

Arguments

• w: probability
• v: value of the conditioning variable in (0,1)
• family: "gaussian" , "t" , "clayton" , "fgm", "frank" , "gumbel", "plackett", "galambos", "huesler-reiss"
• cpar: copula parameter (vector)
• rot: rotation: 0 (default), 90, 180 (survival), or 270

Returns

• U: Conditional quantile

• U: Conditional quantile

Examples

U = qcond(0.1,0.2,"gaussian",0.87)

Author(s)

Pavel Krupskii and Bruno N. Remillard, January 20, 2022