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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