如题,在该论坛下载的Patton-copula程序包,里面有一个“BB7UgivenV_t.m”的文件,
程序如下:
function out1 = BB7UgivenV_t(u,v,t,k,g)
% function out1 = BB7UgivenV_t(u,v,t,k,g)
%
% Computes the value of the conditional BB7 (U given V)
% copula cdf at a specified point
% INPUTS: u, a scalar of F(X[t])
% v, a scalar of G(Y[t])
% t, the value of C(u|v)
% k, a scalar of kappa
% g, a scalar of gamma
%
% Tuesday, 14 Nov, 2000
%
% Andrew Patton
% Written for the following papers:
%
% Patton, A.J., 2006, Modelling Asymmetric Exchange Rate Dependence, International Economic Review, 47(2), 527-556.
% Patton, A.J., 2006, Estimation of Multivariate Models for Time Series of Possibly Different Lengths, Journal of Applied Econometrics, 21(2), 147-173.
% Patton, A.J., 2004, On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation, Journal of Financial Econometrics, 2(1), 130-168.
%
% http://fmg.lse.ac.uk/~patton
out1 = (1-(-1+(1-(1-u).^k).^(-g)+(1-(1-v).^k).^(-g)).^(-1./g)).^(-1+1./k).*(-1+(1-(1-u).^k).^...
(-g)+(1-(1-v).^k).^(-g)).^(-1-1./g).*(1-(1-v).^k).^(-1-g).*(1-v).^(-1+k);
out1 = out1 - t;
这个程序是用来计算条件概率分布的,但是,不太懂为什么out1最后还要减t??
按道理说,对BB7 copula求偏导,得到的就是条件概率分布啊,再减去原联合分布函数值是什么意思呢?
求高人解答啊