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arXiv · 2403.18245

LocalCop: An R package for local likelihood inference for conditional copulas

Elif F. Acar·Martin Lysy·Alan Kuchinsky
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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).

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Elif F. Acar, Martin Lysy, Alan Kuchinsky. 2024-03-27. LocalCop: An R package for local likelihood inference for conditional copulas. https://arxiv.org/abs/2403.18245

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