[R] Copula Regression

Janmaat, John John.Janmaat at ubc.ca
Mon Feb 29 23:54:56 CET 2016


I'm trying to figure out how to run copula regressions in R.  I see a couple of packages that do specific versions, but I am hoping to be a bit more flexible.

My specific problem involves two ordered regressions (four levels each) that may be correlated.  Is there a package out there that can do copula regressions with arbitrary marginals?  Alternatively, is there a way to trick functions like GLM into returning observation specific CDF values given a guess for the parameters?

I would prefer to avoid coding this up, as I expect the more tested code I can use, the less likelihood for my own errors to mess up the results.



Dr. John Janmaat
Economics (Unit 8), IK Barber School of Arts and Sciences
The University of British Columbia
3333 University Way, Kelowna, BC

	[[alternative HTML version deleted]]

More information about the R-help mailing list