bayescopulareg

Tools for Bayesian copula generalized linear models (GLMs). The sampling scheme is based on Pitt, Chan, and Kohn (2006) doi:10.1093/biomet/93.3.537. Regression parameters (including coefficients and dispersion parameters) are estimated via the adaptive random walk Metropolis approach developed by Haario, Saksman, and Tamminen (1999) doi:10.1007/s001800050022. The prior for the correlation matrix is based on Hoff (2007) doi:10.1214/07-AOAS107.

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