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.
med.regressCOP2(v=seq(0.01,0.99, by=0.01), cop=NULL, para=NULL, level=NA, ...)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.
Nonexceedance probability \(v\) in the \(Y\) 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.regressCOP2 and derCOPinv2 that are called in succession.
W.H. Asquith
Nelsen, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.
med.regressCOP, qua.regressCOP2, qua.regressCOP.draw
# See examples under med.regressCOP
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