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Results tagged with copula
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user 244728
A copula is a multivariate distribution with uniform marginal distributions. Copulas are mostly used to represent or to model the structure of dependence between random variables, separately from the marginal distributions.
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Sum of two dependent random variables with copula
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. … 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 …
