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Derivation of a dynamical Generalized Pareto distribution

This looks like a straightforward reparameterization, with some variable names changed arbitrarily - suppose that the shape parameter is a function of time, and note that (1) is already conditional on ...
Randy Savage's user avatar
-1 votes

Acceptance/rejection sampling and inverting CDF (R code illustration included)

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Pedro Rafael's user avatar
1 vote

How to write a function for the normal copula in R?

While I am not sure if what I have done is correct, I was able to write a function for $$ C_\theta(u, v)=\Phi_\theta\left(\Phi^{-1}(u), \Phi^{-1}(v)\right), $$ ...
Stich's user avatar
  • 71
7 votes

How to write a function for the normal copula in R?

By definition, the bivariate CDF for variables $(X,Y)$ is $$\Phi_\theta(x,y) = \Pr(X\le x,\ Y\le y).$$ It is the area of an infinite rectangle (with upper right vertex at $(x,y)$) weighted by the ...
whuber's user avatar
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