[R] quantile regression using copulas

Marius Hofert marius.hofert at math.ethz.ch
Sun Oct 21 09:47:24 CEST 2012

Please note:

1) your example is not working in the way you provided it (see
2) you receive a warning, not an error
3) I'd try and debug qua.regressCOP2 to see why the warning appears
4) in case 3) does not help, contact the maintainer of copBasic (William
H. Asquith <william.asquith at ttu.edu>)

Having said the above, the warning message "... could not uniroot..." is indeed
weak. I guess (without looking at the code) that derCOPinv2 computes some kind
of inverse of the derivative of a copula with respect to one argument. This
often appears since it is the quantile function of a conditional copula. If the
inversion is done via uniroot, it might not be numerically 100% stable and you
probably ran into a case where something strange happened there (not too strange
though, since it's just a warning). But if you debug it (use
debug(qua.regressCOP2) and call your example again) and find the flaw, you can
give the maintainer feedback how the function can be improved so that you won't
run into this problem again in the future. 



More information about the R-help mailing list