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

Alan Kuchinsky; Elif F. Acar; Martin Lysy

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

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arxiv 2403.18245 v1 pith:ERPB3I3Z submitted 2024-03-27 stat.CO stat.ME

Elif F. Acar , Martin Lysy , Alan Kuchinsky This is my paper · ORCID

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keywords acarconditionalcopulascraiuinferencelikelihoodlocallocalcop

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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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