localgauss: Estimating Local Gaussian Parameters

Computational routines for estimating local Gaussian parameters. Local Gaussian parameters are useful for characterizing and testing for non-linear dependence within bivariate data. See e.g. Tjostheim and Hufthammer, Local Gaussian correlation: A new measure of dependence, Journal of Econometrics, 2013, Volume 172 (1), pages 33-48 <DOI:10.1016/j.jeconom.2012.08.001>.

Getting started

Package details

AuthorTore Selland Kleppe <[email protected]>
MaintainerTore Selland Kleppe <[email protected]>
Package repositoryView on CRAN
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localgauss documentation built on May 2, 2019, 8:57 a.m.