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eecop

eecop is an R package for copula-based regression by the method of Nagler and Vatter (2020). A model for marginal distributions and copula between response and covariates is estimated. Predictions for quantiles or expectiles can then be derived from solving a weighted estimating equations.

Installation

You can install the released version of eecop from github with:

devtools::install_github("tnagler/eecop")

Example

library(eecop)
## model with continuous variables
x <- matrix(rnorm(200), 100, 2)
y <- rowSums(x) + rnorm(100)

fit <- eecop(y, x)
predict(fit, x, t = c(0.5, 0.9), type = "quantile")

References

Nagler, T. and Vatter, T. (2020). Solving estimating equations with copulas. arXiv:1801.10576

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Copula based estimation equations

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