Elif Fidan Acar, Martin Lysy
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.
To install the CRAN version (0.0.1):
install.packages("LocalCop", INSTALL_opts = "--install-tests")To install the latest development version: first install the devtools package, then:
devtools::install_github("mlysy/LocalCop", INSTALL_opts = "--install-tests")To verify that the package has been installed correctly, you can run its unit tests. First install the testthat package, then:
testthat::test_package("LocalCop", reporter = "progress")Contributions in the form of bug reports, fixes, extensions, improvements, etc. are most welcome. Please file an issue before submitting a PR.