LocalCop: An R package for local likelihood inference for conditional copulas
Computation
2024-03-28 v1 Methodology
Abstract
Conditional copulas models allow the dependence structure between multiple response variables to be modelled as a function of covariates. LocalCop (Acar & Lysy, 2024) is an R/C++ package for computationally efficient semiparametric conditional copula modelling using a local likelihood inference framework developed in Acar, Craiu, & Yao (2011), Acar, Craiu, & Yao (2013) and Acar, Czado, & Lysy (2019).
Keywords
Cite
@article{arxiv.2403.18245,
title = {LocalCop: An R package for local likelihood inference for conditional copulas},
author = {Elif F. Acar and Martin Lysy and Alan Kuchinsky},
journal= {arXiv preprint arXiv:2403.18245},
year = {2024}
}
Comments
6 pages, 2 figures; submitted to the Journal of Open Source Software (JOSS)