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copBasic (version 2.2.7)

derCOPinv2: Numerical Derivative Inverse of a Copula for U with respect to V

Description

Compute the inverse of a numerical partial derivative for U with respect to V of a copula, which is a conditional quantile function for nonexceedance probability t, or t=cv(u)=C12(1)(uv)=δC(u,v)δv, and solving for u. Nelsen (2006, pp. 13, 40--41) shows that this inverse is quite important for random variable generation using the conditional distribution method. This function is not vectorized and will not be so.

Usage

derCOPinv2(cop=NULL, v, t, trace=FALSE,
           delv=.Machine$double.eps^0.50, para=NULL, ...)

Value

Value(s) for the derivative inverse are returned.

Arguments

cop

A copula function;

v

A single nonexceedance probability v in the Y direction;

t

A single nonexceedance probability level t;

trace

A logical controlling a message on whether the signs on the uniroot are the same---this is helpful in exploring the numerical derivative limits of a given implementation of a copula.

delv

The Δv interval for the derivative;

para

Vector of parameters or other data structure, if needed, to pass to cop; and

...

Additional arguments to pass to the copula.

Author

W.H. Asquith

References

Nelsen, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.

See Also

derCOP2