dcvar
Dynamic Copula VAR Models for Time-Varying Dependence
Fits Bayesian copula vector autoregressive models for bivariate time series with dynamic, regime-switching, and constant dependence structures. The package includes simulation, data preparation, estimation with 'Stan' through 'rstan' or 'cmdstanr', posterior summaries, diagnostics, trajectory extraction, fitted and predictive summaries, and approximate leave-one-out cross-validation model comparison for supported fits. For Bayesian computation and model comparison, see Carpenter et al. (2017) <doi:10.18637/jss.v076.i01> and Vehtari, Gelman and Gabry (2017) <doi:10.1007/s11222-016-9696-4>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
rolling linux/jammy R-4.5 | dcvar_0.1.0.tar.gz |
526.5 KiB |
0.1.0 |
rolling linux/noble R-4.5 | dcvar_0.1.0.tar.gz |
526.0 KiB |
0.1.0 |
rolling source/ R- | dcvar_0.1.0.tar.gz |
229.9 KiB |
0.1.0 |
latest linux/jammy R-4.5 | dcvar_0.1.0.tar.gz |
526.5 KiB |
0.1.0 |
latest linux/noble R-4.5 | dcvar_0.1.0.tar.gz |
526.0 KiB |
0.1.0 |
latest source/ R- | dcvar_0.1.0.tar.gz |
229.9 KiB |
0.1.0 |
2026-04-26 source/ R- | dcvar_0.1.0.tar.gz |
229.9 KiB |
0.1.0 |
2026-04-23 source/ R- | dcvar_0.1.0.tar.gz |
229.9 KiB |