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:	0.0.2
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

Documentation:

Reference manual:	LocalCop.html , LocalCop.pdf
Vignettes:	LocalCop: Local likelihood inference for conditional copulas (source, R code)

Downloads:

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

Linking:

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