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: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=LocalCop to link to this page.
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