CopulaRegression: Bivariate Copula Based Regression Models

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This R-packages presents a bivariate, copula-based model for the joint distribution of a pair of continuous and discrete random variables. The two marginal random variables are modeled via generalized linear models, and their joint distribution (represented by a parametric copula family) is estimated using maximum-likelihood techniques.

Author
Nicole Kraemer, Daniel Silvestrini
Date of publication
2014-09-04 13:43:24
Maintainer
Nicole Kraemer <kraemer_r_packages@yahoo.de>
License
GPL (>= 2.0)
Version
0.1-5

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Man pages

copreg
Joint, copula-based regression model
CopulaRegression-package
Bivariate copula-based regression models
density_conditional
Conditional density of Y given X
density_joint
Joint density of X and Y
dgam
Density of a Gamma variable
dpolicy_loss
Density of the policy loss
D_u
H-function of the copula
dztp
Density of a zero truncated Poisson variable
epolicy_loss
Expectation of the policy loss
loglik_joint
Loglikelihood of the joint regression model
mle_joint
ML-Estimates of the joint model.
mle_marginal
ML-estimates of the marginal models
pgam
Distribution of a Gamma variable
ppolicy_loss
Cumaltive distribution function of the policy loss
predict.copreg
Prediction of the copula regression model
pztp
Cumulative distribution function of a zero truncated Poisson...
qpolicy_loss
Quantile of the policy loss
rgam
Samples from a Gamma variable
simulate_joint
Simulation from the joint model
simulate_regression_data
Simulate regression data
theta2z
Transformation of the copula parameter
vuongtest
Model comparison using a Vuong test
z2theta
Inverse of the parameter transformation
ztp.glm
GLM for a zero truncated Poisson variable

Files in this package

CopulaRegression
CopulaRegression/inst
CopulaRegression/inst/CITATION
CopulaRegression/inst/ChangeLog
CopulaRegression/NAMESPACE
CopulaRegression/R
CopulaRegression/R/dgam.R
CopulaRegression/R/copreg.R
CopulaRegression/R/z2theta.R
CopulaRegression/R/epolicy_loss.R
CopulaRegression/R/theta2z.R
CopulaRegression/R/vuongtest.R
CopulaRegression/R/simulate_joint.R
CopulaRegression/R/density_conditional.R
CopulaRegression/R/dpolicy_loss.R
CopulaRegression/R/predict.xy.R
CopulaRegression/R/density_joint.R
CopulaRegression/R/simulate_regression_data.R
CopulaRegression/R/ztp.glm.R
CopulaRegression/R/rgam.R
CopulaRegression/R/qpolicy_loss.R
CopulaRegression/R/ppolicy_loss.R
CopulaRegression/R/mle_joint.R
CopulaRegression/R/D_u.R
CopulaRegression/R/dztp.R
CopulaRegression/R/mle_marginal.R
CopulaRegression/R/predict.copreg.R
CopulaRegression/R/loglik_joint.R
CopulaRegression/R/pztp.R
CopulaRegression/R/pgam.R
CopulaRegression/MD5
CopulaRegression/DESCRIPTION
CopulaRegression/man
CopulaRegression/man/copreg.Rd
CopulaRegression/man/density_conditional.Rd
CopulaRegression/man/vuongtest.Rd
CopulaRegression/man/epolicy_loss.Rd
CopulaRegression/man/D_u.Rd
CopulaRegression/man/z2theta.Rd
CopulaRegression/man/dztp.Rd
CopulaRegression/man/rgam.Rd
CopulaRegression/man/predict.copreg.Rd
CopulaRegression/man/qpolicy_loss.Rd
CopulaRegression/man/ppolicy_loss.Rd
CopulaRegression/man/mle_marginal.Rd
CopulaRegression/man/mle_joint.Rd
CopulaRegression/man/theta2z.Rd
CopulaRegression/man/dpolicy_loss.Rd
CopulaRegression/man/pztp.Rd
CopulaRegression/man/simulate_joint.Rd
CopulaRegression/man/pgam.Rd
CopulaRegression/man/dgam.Rd
CopulaRegression/man/density_joint.Rd
CopulaRegression/man/loglik_joint.Rd
CopulaRegression/man/CopulaRegression-package.Rd
CopulaRegression/man/simulate_regression_data.Rd
CopulaRegression/man/ztp.glm.Rd