Ecosyste.ms: Awesome
An open API service indexing awesome lists of open source software.
https://github.com/mlysy/localcop
Local Likelihood Inference for Conditional Copulas
https://github.com/mlysy/localcop
Last synced: 3 months ago
JSON representation
Local Likelihood Inference for Conditional Copulas
- Host: GitHub
- URL: https://github.com/mlysy/localcop
- Owner: mlysy
- License: gpl-3.0
- Created: 2019-03-08T05:27:56.000Z (almost 6 years ago)
- Default Branch: main
- Last Pushed: 2024-09-12T15:17:26.000Z (5 months ago)
- Last Synced: 2024-09-13T02:39:30.219Z (5 months ago)
- Language: R
- Homepage: https://mlysy.github.io/LocalCop/
- Size: 1.26 MB
- Stars: 1
- Watchers: 1
- Forks: 2
- Open Issues: 1
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
README
# LocalCop: Local Likelihood Inference for Conditional Copula Models
*Elif Fidan Acar, Martin Lysy*
[](https://github.com/mlysy/LocalCop/actions/workflows/R-CMD-check.yaml)
------------------------------------------------------------------------
### 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**](https://github.com/kaskr/adcomp),
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):
``` r
install.packages("LocalCop", INSTALL_opts = "--install-tests")
```
To install the latest development version: first install the
[**devtools**](https://CRAN.R-project.org/package=devtools) package,
then:
``` r
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**](https://CRAN.R-project.org/package=testthat) package,
then:
``` r
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](https://github.com/mlysy/LocalCop/issues) before submitting a
PR.