Erratum: FE-C180-11, Part 2
March 13th, 2012
I received the following email:
I have a question about some of your notation for your copula example for Part 2 of the FE-C180-11 study note starting at time 11:44 on the video:
In the video you have F ( X=0 , Y=1 ) = C ( FX-1(0) , FY-1(1) ) = C ( .9 , .99 )
Would this be more appropriate if written as: F ( X=0 , Y=1 ) = F (FX-1 (.9) , FY-1 (.99) ) = C ( .9 , .99 )
Or possibly: F( X=0 , Y=1 ) = C ( FX (0) , FY (1) ) = C ( .9 , .99) [The inverses have been removed from this line].
(sorry, I can’t get the math notation better in the blog).
This is correct in that my notation was wrong in doing the copula example.
It should have been the bottom formula:
F( X=0 , Y=1 ) = C ( FX (0) , FY (1) ) = C ( .9 , .99)