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LocalCop  

Local Likelihood Inference for Conditional Copula Models
View on CRAN: Click here


Download and install LocalCop package within the R console
Install from CRAN:
install.packages("LocalCop")

Install from Github:
library("remotes")
install_github("cran/LocalCop")

Install by package version:
library("remotes")
install_version("LocalCop", "0.0.2")



Attach the package and use:
library("LocalCop")
Maintained by
Martin Lysy
[Scholar Profile | Author Map]
First Published: 2024-03-21
Latest Update: 2024-03-21
Description:
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.
How to cite:
Martin Lysy (2024). LocalCop: Local Likelihood Inference for Conditional Copula Models. R package version 0.0.2, https://cran.r-project.org/web/packages/LocalCop. Accessed 04 May. 2025.
Previous versions and publish date:
0.0.1 (2024-03-21 15:50)
Other packages that cited LocalCop R package
View LocalCop citation profile
Other R packages that LocalCop depends, imports, suggests or enhances
Complete documentation for LocalCop
Functions, R codes and Examples using the LocalCop R package
Full LocalCop package functions and examples
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