Locally Gaussian Distributions: Estimation and Methods
Generate sample from a conditional density estimate
Bandwidth selection for local Gaussian correlation.
Cross-validation for bivariate distributions
Cross-validation for trivariate distributions
Cross-validation for univariate distributions
Plugin bandwidth selection for multivariate data
Plugin bandwidth selection for univariate data
Create simple bandwidth object
Check bandwidth vector
Check bw method
Check bandwidth vector
Check the data and grid
Check the arguments for the dmvnorm_wrapper function
Check estimation method
Check that an object has class "lg"
Test for conditional independence
Calculate the value of the test statistic for the conditional independ...
The locally Gaussian conditional density estimator
Test for financial contagion
Plot local correlation maps
The locally Gaussian density estimator (LGDE)
Bivariate density estimation
Marginal density estimation
Marginal estimates for multivariate data
Trivariate density estimation
Wrapper for dmvnorm
Wrapper for dmvnorm - single point
Auxiliary function for calculating the asymptotic standard deviations ...
Independence tests
Function that calculates the test statistic in the independence tests.
Interpolate a univariate conditional density function
lg: A package for calculating the local Gaussian correlation in mult...
Create an lg object
Calculate the local conditional covariance between two variables
Auxiliary function for calculating the asymptotic standard deviations ...
Evaluate the multivariate normal
Calculate the local Gaussian partial correlation
Bootstrap replication under the null hypothesis
Transform the marginals of a multivariate data set to standard normali...
Auxiliary function for calculating the local score function u
An implementation of locally Gaussian distributions. It provides methods for implementing locally Gaussian multivariate density estimation, conditional density estimation, various independence tests for iid and time series data, a test for conditional independence and a test for financial contagion.