LocalCop: Local Likelihood Inference for Conditional Copula Models (original) (raw)
Implements a local likelihood estimator for the dependence parameter in bivariate conditional copula models. Copula family and local likelihood bandwidth parameters are selected by leave-one-out cross-validation. The models are implemented in 'TMB', meaning that the local score function is efficiently calculated via automated differentiation (AD), such that quasi-Newton algorithms may be used for parameter estimation.
| Version: | 0.0.2 |
|---|---|
| Depends: | R (≥ 3.5.0) |
| Imports: | TMB (≥ 1.7.20), VineCopula |
| LinkingTo: | TMB, RcppEigen |
| Suggests: | testthat, parallel, knitr, rmarkdown, bookdown, kableExtra, dplyr, readr, tidyr, ggplot2 |
| Published: | 2024-09-12 |
| DOI: | 10.32614/CRAN.package.LocalCop |
| Author: | Elif Fidan Acar [aut], Martin Lysy [aut, cre], Alan Kuchinsky [ctb] |
| Maintainer: | Martin Lysy |
| BugReports: | https://github.com/mlysy/LocalCop/issues |
| License: | GPL-3 |
| URL: | https://github.com/mlysy/LocalCop,https://mlysy.github.io/LocalCop/ |
| NeedsCompilation: | yes |
| Materials: | NEWS |
| CRAN checks: | LocalCop results |
Documentation:
Downloads:
Linking:
Please use the canonical formhttps://CRAN.R-project.org/package=LocalCopto link to this page.