med.regressCOP2 {copBasic}

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 (derCOPinv2). The documentation for qua.regressCOP2 provides mathematical details.

Usage

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

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;

level

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.

Value

An R data.frame of the median regressed probabilities of U and provided V values is returned. Note: if level is used, the column ordering of the returned data.frame changes—please access the columns by the named idiom. The lower- and upper-prediction interval bounds are contained in the columns repectively titled Ulwr and Uupr to mimic nomenclature somewhat of function predict.lm() in R.

Author(s)

W.H. Asquith

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 examples under med.regressCOP