Hi,
I want to run a quantile regression (Y=a+bX+e) using normal and t copula for
my dissertation.
I 've read the documentation of "copula" and "copBasic". However, I still
have difficulty to deal with my data.
Details are as following:
I've already loaded xls data into r using "XLConnect" package.
excel.file<-file.path("Q:/dailyvstoxx.xls")
dailyvstoxx<-readWorksheetFromFile(excel.file, sheet=1)
Then, I've loaded "copBasic"package.
According to the example 'qua.regressCOP' in the documentation "copBasic":
theta <- 10
R <- qua.regressCOP(cop=PLACKETTcop, para=c(theta))
I have two questions:
1) how to solve out the 'theta' of my data
2)I want to use normal copula, so I try:
R<- qua.regressCOP(cop=NORMALcop, para=c(theta))
However, I get:
Error in derCOP(cop = cop, u = u, v = x, delu = delu, para = para, ...) :
object 'NORMALcop' not found
I wonder what is the code for normal copula and t copula in copBasic.
I am looking forward to your reply.
Yours,
Tong
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