LocalCop: Local Likelihood Inference for Conditional Copula Models

Elif Fidan Acar, Martin Lysy

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Description

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.

Installation

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")

Usage

Please see package vignette: vignette("LocalCop-vignette").

Unit 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")

Contributing

Contributions in the form of bug reports, fixes, extensions, improvements, etc. are most welcome. Please file an issue before submitting a PR.