https://github.com/cran/nacopula
Tip revision: 161411bb86f97e5a8bd89091cd61d03a33c2761a authored by Martin Maechler on 06 February 2012, 00:00:00 UTC
version 0.8-0
version 0.8-0
Tip revision: 161411b
prob.Rd
\name{prob}
\alias{prob}
\alias{prob-methods}
\alias{prob,outer_nacopula-method}
\title{Computing Probabilities of "nacopula" Objects to Fall in Hypercubes}
\description{
Compute probabilities of a \eqn{d-}dimensional random vector \eqn{U}
distributed according to the nested Archimedean copula \code{x} to
fall in a hypercube \eqn{(l,u]}, where \eqn{l} and \eqn{u} denote the
lower and upper corners of the hypercube, respectively.
}
\usage{
prob(x, l, u)
}
\arguments{
\item{x}{(nested) Archimedean copula of dimension \eqn{d}, that is, an object
of class \code{\linkS4class{nacopula}}, typically constructed with
\code{\link{onacopula}(..)}.}
\item{l, u}{\eqn{d}-dimensional, \code{\link{numeric}}, lower and
upper hypercube boundaries, respectively, satisfying
\eqn{0 \le l_i \le u_i \le 1}{0 <= l_i <= u_i <= 1},
for \eqn{i\in{1,\dots,d}}{i in {1,...,d}}.}
}
\value{A \code{\link{numeric}} in \eqn{[0,1]} which is the probability
\eqn{P(l_i< U_i \le u_i)}{P(l[i] < U[i] <= u[i])}.
}
\author{Marius Hofert, Martin Maechler}
\seealso{
\code{\link{onacopula}()} for the construction of nested Archimedean
copulas, the class \code{\linkS4class{nacopula}}, and the evaluation
of nested Archimedean copulas via \code{\link{pnacopula}(.)}.
}
\examples{
## Construct a three-dimensional nested Joe copula with parameters
## chosen such that the Kendall's tau of the respective bivariate margins
## are 0.2 and 0.5.
theta0 <- copJoe@tauInv(.2)
theta1 <- copJoe@tauInv(.5)
C3 <- onacopula("J", C(theta0, 1, C(theta1, c(2,3))))
## Compute the probability of a random vector distributed according to
## this copula to fall inside the cube with lower point l and upper
## point u.
l <- c(.7,.8,.6)
u <- c(1,1,1)
prob(C3, l, u)
}
\keyword{distribution}
\keyword{methods}