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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>.
Package details |
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Author | Tore Selland Kleppe <tore.kleppe@uis.no> |
Maintainer | Tore Selland Kleppe <tore.kleppe@uis.no> |
License | GPL-2 |
Version | 0.41 |
Package repository | View on CRAN |
Installation |
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