Computing the h-function of a pair-copula
The function computes the h-function, i.e., it evaluates the conditional distribution function of U1|U2 at u1, given U2=u2. Possible copula families: 0 Indep 1 AMH 2 AsymFGM 3 BB1 4 BB6 5 BB7 6 BB8 7 Clayton 8 FGM 9 Frank 10 Gaussian 11 Gumbel 12 IteratedFGM 13 Joe 14 PartialFrank 15 Plackett 16 Tawn1 17 Tawn2 18 Tawn 19 t
U = PairCopulaHfun(family,u1,u2,theta) Rotated pair-copulas U = PairCopulaHfun(family,u1,u2,theta,rotation)
family = The copula family. u1 = A (n x 1) dimensional vector of values lying in [0,1]. u2 = A (n x 1) dimensional vector of values lying in [0,1]. theta = The parameter vector for the pair-copula. rotation = The degree of rotation, i.e., either 90, 180 or 270. No rotation is achieved by letting the rotation argument empty or by choosing 0 rotation.
U = n dimensional vector of probabilities (sometimes called pseudo-observations), which are lying strictly in [0,1].