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:

Reference manual: LocalCop.pdf
Vignettes: LocalCop: Local likelihood inference for conditional copulas

Downloads:

Package source: LocalCop_0.0.1.tar.gz
Windows binaries: r-devel: LocalCop_0.0.1.zip, r-release: LocalCop_0.0.1.zip, r-oldrel: LocalCop_0.0.1.zip
macOS binaries: r-release (arm64): LocalCop_0.0.1.tgz, r-oldrel (arm64): LocalCop_0.0.1.tgz, r-release (x86_64): LocalCop_0.0.1.tgz

Linking:

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