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dcvar  

Dynamic Copula VAR Models for Time-Varying Dependence
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("dcvar", "0.9.3")



Attach the package and use:
library("dcvar")
Maintained by
Benedikt Lugauer
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-04-22
Latest Update: 2026-04-22
Description:
Fits Bayesian copula vector autoregressive models for bivariate time series with dynamic, regime-switching, and constant dependence structures. The package includes simulation, data preparation, estimation with 'Stan' through 'rstan' or 'cmdstanr', posterior summaries, diagnostics, trajectory extraction, fitted and predictive summaries, and approximate leave-one-out cross-validation model comparison for supported fits. For Bayesian computation and model comparison, see Carpenter et al. (2017) <doi:10.18637/jss.v076.i01> and Vehtari, Gelman and Gabry (2017) <doi:10.1007/s11222-016-9696-4>.
How to cite:
Benedikt Lugauer (2026). dcvar: Dynamic Copula VAR Models for Time-Varying Dependence. R package version 0.9.3, https://cran.r-project.org/web/packages/dcvar. Accessed 10 Nov. 2026.
Previous versions and publish date:
(2026-07-09 07:31), 0.1.0 (2026-04-22 15:50), 0.2.0 (2026-04-27 14:50)
Other packages that cited dcvar R package
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Complete documentation for dcvar
Functions, R codes and Examples using the dcvar R package
Full dcvar package functions and examples
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