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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.
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Package details |
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| Author | Elif Fidan Acar [aut], Martin Lysy [aut, cre], Alan Kuchinsky [ctb] |
| Maintainer | Martin Lysy <mlysy@uwaterloo.ca> |
| License | GPL-3 |
| Version | 0.0.2 |
| URL | https://github.com/mlysy/LocalCop https://mlysy.github.io/LocalCop/ |
| Package repository | View on CRAN |
| Installation |
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