# quantile regression using copulas

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## quantile regression using copulas

 Hi all, Has anyone used the qua.regressCOP2 function from the copBasic package??? The default copula function used in this function is plackett copula and I wanted to use archimedean copula. Attached below is my code: mycop<-frankCopula V=seq(0.001,0.99,by=0.000217) R<-qua.regressCOP2(0.25,V,cop=mycop,para=c(3.504)) And this is the error I get: Warning messages: 1: In qua.regressCOP2(0.25, V, cop = mycop, para = c(3.504)) :   could not uniroot in derCOPinv2, skipping sample for i=4558 having V=0.989869 2: In qua.regressCOP2(0.25, V, cop = mycop, para = c(3.504)) : 3.504 Would really appreciate if anyone could tell me what is causing the problem and how I should solve it. indu         [[alternative HTML version deleted]] ______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide http://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.
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## Re: quantile regression using copulas

 Please note: 1) your example is not working in the way you provided it (see http://www.minimalbeispiel.de/mini-en.html) 2) you receive a warning, not an error 3) I'd try and debug qua.regressCOP2 to see why the warning appears 4) in case 3) does not help, contact the maintainer of copBasic (William H. Asquith ) Having said the above, the warning message "... could not uniroot..." is indeed weak. I guess (without looking at the code) that derCOPinv2 computes some kind of inverse of the derivative of a copula with respect to one argument. This often appears since it is the quantile function of a conditional copula. If the inversion is done via uniroot, it might not be numerically 100% stable and you probably ran into a case where something strange happened there (not too strange though, since it's just a warning). But if you debug it (use debug(qua.regressCOP2) and call your example again) and find the flaw, you can give the maintainer feedback how the function can be improved so that you won't run into this problem again in the future. Cheers, Marius ______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide http://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.
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## Re: quantile regression using copulas

 Hi Marius, I have tried debugging the qua.regressCOP2 function. The error I'am getting is: "Error in cop(u, v + delv, ...) : unused argument(s) (v + delv)". Unable to decipher it. And have mailed to  william.asquith at ttu.edu>. Thanks indu