LocalCop: Local Likelihood Inference for Conditional Copula Models
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: |
0.0.1 |
| 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: |
2024-03-21 |
| Author: |
Elif Acar [aut],
Martin Lysy [aut, cre],
Alan Kuchinsky [ctb] |
| Maintainer: |
Martin Lysy <mlysy at uwaterloo.ca> |
| BugReports: |
https://github.com/mlysy/LocalCop/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/mlysy/LocalCop |
| NeedsCompilation: |
yes |
| Materials: |
NEWS |
| CRAN checks: |
LocalCop results |
Documentation:
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