Perform median regression (Nelsen, 2006, pp. 217--218) of a copula by inversion of numerical derivatives of the copula (derCOPinv). The documentation for qua.regressCOP provides mathematical details. The qua.regressCOP.draw supports so-called quantile regression along various probability levels (see Examples).
med.regressCOP(u=seq(0.01,0.99, by=0.01), cop=NULL, para=NULL, level=NA, ...)An R
data.frame of the median regressed probabilities of \(V\) and provided \(U\) values is returned. Note that if level is used then 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 Vlwr and Vupr to mimic nomenclature somewhat of function predict.lm() in R.
Nonexceedance probability \(u\) in the \(X\) 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.regressCOP and derCOPinv that are called in succession.
W.H. Asquith
Nelsen, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.
Salvadori, G., De Michele, C., Kottegoda, N.T., and Rosso, R., 2007, Extremes in Nature---An approach using copulas: Springer, 289 p.
med.regressCOP2, qua.regressCOP, qua.regressCOP.draw