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Estimate the probability of all RVs to be in the given percentile #16

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PavelRechkalov opened this issue Mar 21, 2024 · 0 comments
Open

Estimate the probability of all RVs to be in the given percentile #16

PavelRechkalov opened this issue Mar 21, 2024 · 0 comments

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@PavelRechkalov
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Is there a way to estimate the probability of all RVs to be in the given percentile (given their joint probability distribution based on the given copula)?

E.g., assume I have 3 RVs. I link their marginal w/ whatever copula. Then, I'd like to know what's the probability that all 3 RVs jointly happen to draw a value in 10% percentile?

Regards
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@PavelRechkalov