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-boun...@r-project.org] On Behalf Of Janmaat, John
Sent: February-29-16 2:55 PM
To: 'r-help@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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