Perform median regression of a copula (Nelsen, 2006, pp. 217--218) by inversion of numerical derivatives of the copula (derCOPinv2
). The documentation for qua.regressCOP2
provides mathematical details.
med.regressCOP2(v=seq(0.01,0.99, by=0.01), cop=NULL, para=NULL, level=NA, ...)
Nonexceedance probability \(v\) in the \(Y\) direction;
A copula function;
Vector of parameters or other data structure, if needed, to pass to the copula;
The level of the prediction interval to compute. For example, level=0.95
will compute the 95-percent prediction interval as will level=0.05
because internally a reflection check is made; and
Additional arguments to pass such qua.regressCOP2
and derCOPinv2
that are called in succession.
An R data.frame
of the median regressed probabilities of \(U\) and provided \(V\) values is returned. Note that if level
is used that the column ordering
of the returned data.frame
changes---please access the columns by the named idiom. The lower and upper prediction interval is contained in the columns repectively titled Ulwr
and Uupr
to mimic nomenclature somewhat of function predict.lm()
in R.
Nelsen, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.
# NOT RUN {
# See other examples under med.regressCOP
# }
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