[R] Copula Regression

[Janmaat, John]

Well, seem to have solved own problem.

The article "Enjoy the joy of copulas: with a package copula" has a nice appendix that describes precisely how to set up what I am looking for.  The only minor issue is that some of the functions have been deprecated.

So, if anyone is curious, here is the article info (in BibTeX):

@Article{YanJ_2007_CopulasR,
  title={Enjoy the joy of copulas: with a package copula},
  author={Yan, Jun and others},
  journal={Journal of Statistical Software},
  volume={21},
  number={4},
  pages={1--21},
  year={2007}
}

John.

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


-----Original Message-----
From: R-help [mailto:r-help-bounces at r-project.org] On Behalf Of Janmaat, John
Sent: February-29-16 2:55 PM
To: 'r-help at r-project.org'
Subject: [R] Copula Regression

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.

----------
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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