copBasic (version 1.7.1)

med.regressCOP2: Perform Median Regression using a Copula by Numerical Derivative Method for U with respect to V

Description

Perform median regression of a copula (Nelsen, 2006, pp. 217--218) by inversion of numerical derivatives of the copula. See the documentation for qua.regressCOP2 for mathematical details.

Usage

med.regressCOP2(v=seq(0.01,0.99, by=0.01), cop=NULL, para=NULL, ...)

Arguments

v

Nonexceedance probability $v$ in the $Y$ direction;

cop

A copula function;

para

Vector of parameters or other data structure, if needed, to pass to the copula; and

...

Additional arguments to pass such qua.regressCOP2 and derCOPinv2 that are called in succession.

Value

• An Rdata.frame of the median regressed probabilities of $U$ and provided $V$ values is returned.

concept

quantile regression

References

Nelsen, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.

See Also

med.regressCOP, qua.regressCOP2, qua.regressCOP.draw

Examples

# See other examples under med.regressCOP
theta <- 10
R <- med.regressCOP2(cop=PLACKETTcop, para=theta)
plot(R$U,R$V, type="l", lwd=5, lty=2, xlim=c(0,1), ylim=c(0,1))
lines((1+(theta-1)*R$V)/(theta+1),R$V, col=4)
theta <- 0.02
R <- med.regressCOP2(cop=PLACKETTcop, para=theta)
lines(R$U,R$V, lwd=5, lty=2)
lines((1+(theta-1)*R$V)/(theta+1),R$V, col=2)