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tnagler / VineCopula

Statistical inference of vine copulas
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How to predict under specified conditions using vine copula #93

Closed HEY745 closed 8 months ago

HEY745 commented 8 months ago

Hi,I have bulit a three demensions Vine Copula（variables are x, y, z).Then I am trying to predict z when x and y are set,using RVineSim function.However,the results are that only x (when placed in the first column of the matrix) is fixed,and y has changed. 批注 批注 Is there any way to calculate z with specific values for x and y?or,is this impossible and a deficiency of Vine Copula? Thanks a lot!

tnagler commented 8 months ago

This is not how you simulate conditionally from a vine, you need to do a forward Rosenblatt transform first (function RVinePIT). See for example this article, Section 4.2.

HEY745 commented 8 months ago

Thank you! That's really kind of you! I will try it.