Ng, Wing Lon (contributor) - 2006
= F
X
(X) and V = F
Y
(Y),
i.e.
C (u,v)=P (U ≤ u,V ≤ v) . (3)
Deriving the copula function, one can obtain the conditional … copula and
the density of the copula: taking the first derivative of the copula function
yields the conditional copula of U … given V = v
C
U|V=v
(u)=
∂
∂v
C (u,v) , (4)
and if the copula function is twice differentiable, then the copula density is
c …
