Interpolating Functions — y_interp

These interpolating functions depend on a generating function (of a DJ copula). y_interp_gen() uses the IGL generating function \(\Psi_k\); y_interp_kappa() uses the "kappa transform" of that same function.

y_interp_gen(x, eta, alpha)

y_interp_gen_inv(p, eta, alpha)

y_interp_kappa(x, eta, alpha)

y_interp_kappa_D1(x, eta, alpha)

y_interp_kappa_inv(p, eta, alpha)

Arguments

x	Vector of values >=0 to evaluate the function at.
eta	Vector of values >0 of the interpolating parameter.
alpha	Vector of values >0 corresponding to the \(alpha\) parameter of the IGL generating function.
p	Vector of values between 0 and 1 (inclusive) to evaluate the inverse function at.

Details

Appending _inv to the function name indicates inverse with respect to the first argument. Appending _D1 indicates derivative with respect to the first argument. Function arguments and parameters are vectorized.