Documentation

Copula.Rank.Region.XiBlest.Support.ClampNoiseTails

← Copula mathematical handbook

The clipped tail corrections beyond the polynomial branch #

theorem ProbabilityTheory.Copula.RankRegion.XiBlest.Support.noise_square_full (d : ℝ) :
(noiseMoment 2 d + noiseMoment 2 (-d)) / 2 = 1 / 3 + d ^ 2 / 2 - |d| ^ 3 / 3 + max 0 (|d| - 1) ^ 2 * (2 * |d| + 1) / 6
theorem ProbabilityTheory.Copula.RankRegion.XiBlest.Support.noise_weighted_full (b x y : ℝ) (hb : 0 ≤ b) :
(x * noiseMoment 1 (b * (x - y)) + y * noiseMoment 1 (b * (y - x))) / 2 = (x + y) / 4 + b / 2 * (x - y) ^ 2 - b ^ 2 / 4 * |x - y| ^ 3 + |x - y| * max 0 (b * |x - y| - 1) ^ 2 / 4