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: 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