How to calculate inverse Conditional distribution V/U
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I am trying to calculate inverse conditional distribution
u=u1
v12= Cinv(v/u) (u2/2,a12)
v13 = Cinv(v/u) (u3/u,a13)
v14 = Cinv(v/u) (u4/u,a14)
Answers (1)
For the bivariate Clayton copula, assuming you have vectors u1, u2, u3, u4 and parameters a12, a13, a14,
% Example values
u1 = 0.5; % known value
u2 = 0.6;
u3 = 0.7;
u4 = 0.8;
a12 = 2; % copula parameter
a13 = 2.5;
a14 = 3;
% Clayton copula inverse conditional
Cinv = @(p, u, theta) (p.^(-theta) - u.^(-theta) + 1).^(-1/theta);
v12 = Cinv(u2, u1, a12);
v13 = Cinv(u3, u1, a13);
v14 = Cinv(u4, u1, a14);
disp([v12, v13, v14])
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