[R] Copula Regression

[Janmaat, John]

Hello,

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.

Thanks,

John.

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


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