EMPIRqua.regress2

Generate quantile regression from the gridded inversion of the bivariate empirical copula of \(U\) with respect to \(V\).

empirical copula

empirical copula (quantile regression)

Extensive functions for bivariate copula (bicopula) computations and related operations
for bicopula theory. The lower, upper, product, and select other bicopula are implemented along
with operations including the diagonal, survival copula, dual of a copula, co-copula, and
numerical bicopula density. Level sets, horizontal and vertical sections are supported. Numerical
derivatives and inverses of a bicopula are provided through which simulation is implemented.
Bicopula composition, convex combination, asymmetry extension, and products also are provided.
Support extends to the Kendall Function as well as the Lmoments thereof. Kendall Tau,
Spearman Rho and Footrule, Gini Gamma, Blomqvist Beta, Hoeffding Phi, Schweizer-
Wolff Sigma, tail dependency, tail order, skewness, and bivariate Lmoments are implemented, and
positive/negative quadrant dependency, left (right) increasing (decreasing) are available.
Other features include Kullback-Leibler Divergence, Vuong Procedure, spectral measure, and
Lcomoments for inference, maximum likelihood, and AIC, BIC, and RMSE for goodness-of-fit.

William Asquith

copBasic

General Bivariate Copula Theory and Many Utility Functions

EMPIRqua.regress2 function

<dl> <dt>f</dt>
<dd>The nonexceedance probability \(F\) to perform regression at and defaults to median regression \(F=1/2\);</dd> <dt>v</dt>
<dd>A vector of \(v\) nonexceedance probabilities;</dd> <dt>empinv</dt>
<dd>The grid from <code>EMPIRgridderinv</code>;</dd> <dt>lowess</dt>
<dd>Perform <code>lowess</code> smooth on the quantile regression using the smooth factor of <code>f=f.lowess</code>;</dd> <dt>f.lowess</dt>
<dd>Smooth factor of almost the same argument name fed to the <code><a href="/link/lowess()?package=copBasic&version=2.2.6" data-mini-rdoc="copBasic::lowess()">lowess()</a></code> function in R;</dd> <dt>...</dt>
<dd>Additional arguments to pass.</dd></dl>

Arguments

Author

Quantile Regression of the Grid of the Bivariate Empirical Copula for U with respect to V — EMPIRqua.regress2

<dl>

 <dt>f</dt>
<dd>The nonexceedance probability \(F\) to perform regression at and defaults to median regression \(F=1/2\);</dd>

 <dt>v</dt>
<dd>A vector of \(v\) nonexceedance probabilities;</dd>

 <dt>empinv</dt>
<dd>The grid from <code>EMPIRgridderinv</code>;</dd>

 <dt>lowess</dt>
<dd>Perform <code>lowess</code> smooth on the quantile regression using the smooth factor of <code>f=f.lowess</code>;</dd>

 <dt>f.lowess</dt>
<dd>Smooth factor of almost the same argument name fed to the <code><a href='https://rdrr.io/r/stats/lowess.html'>lowess()</a></code> function in R;</dd>

 <dt>...</dt>
<dd>Additional arguments to pass.</dd>

</dl>

EMPIRqua.regress2: Quantile Regression of the Grid of the Bivariate Empirical Copula for U with respect to V

Description

Usage

Value

Arguments

Author

See Also

Examples