1
$\begingroup$

I'm trying to calculate sum of 2 random variables by using Copula Theory in R or Matlab. However, I have very limited knowledge about probability. Actually I read a lot of theoretical information about how to do it, but still I couldn't find any clear example in R or MATLAB. What I try to do is lets say I have

A = [10 10 11 11 12 12 12 12 13 13] B = [13 13 15 15 17 17 19 19 20 20]

Assuming that they have comonotonic dependence between them and I want to calculate C = A + B by using Frechet upper bound (M-Copula). Is it possible to do this calculation in R ? Can anybody help ?

Obviously C will be bounded in between 23 < c < 33, but what will be its CDF and relevant probabilities ?

Thank you.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.