0
$\begingroup$

I'm trying to calculate the sum of two random variables by using Copula Theory in R or Matlab. However, I have very limited knowledge about probability. Actually I read a lot of theoretical information about how to do it, but still I couldn't find any clear example in R or MATLAB. What I try to do is lets say I have $$ A = [10, 10, 11, 11, 12, 12, 12, 12, 13, 13], \\ B = [13, 13, 15, 15, 17, 17, 19, 19, 20, 20]. $$

Assuming that they have comonotonic dependence between them and I want to calculate $C = A + B$ by using Frechet upper .ound (M-Copula). Is it possible to do this calculation in R ? Can anybody help ?

Obviously C will be bounded in between $23 < c < 33$, but what will be its CDF and relevant probabilities ?

Thank you.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.