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 <mlysy at uwaterloo.ca> |
| 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 |
| Reference manual: | LocalCop.html , LocalCop.pdf |
| Vignettes: |
LocalCop: Local likelihood inference for conditional copulas (source, R code) |
| Package source: | LocalCop_0.0.2.tar.gz |
| Windows binaries: | r-devel: LocalCop_0.0.2.zip, r-release: LocalCop_0.0.2.zip, r-oldrel: LocalCop_0.0.2.zip |
| macOS binaries: | r-release (arm64): LocalCop_0.0.2.tgz, r-oldrel (arm64): LocalCop_0.0.2.tgz, r-release (x86_64): LocalCop_0.0.2.tgz, r-oldrel (x86_64): LocalCop_0.0.2.tgz |
| Old sources: | LocalCop archive |
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