Locally Gaussian Distributions: Estimation and Methods

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Documentation for package ‘lg’ version 0.4.1

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lg-package 'lg': A package for calculating the local Gaussian correlation in multivariate applications.
accept_reject Generate sample from a conditional density estimate
bw_select Bandwidth selection for local Gaussian correlation.
bw_select_cv_bivariate Cross-validation for bivariate distributions
bw_select_cv_trivariate Cross-validation for trivariate distributions
bw_select_cv_univariate Cross-validation for univariate distributions
bw_select_plugin_multivariate Plugin bandwidth selection for multivariate data
bw_select_plugin_univariate Plugin bandwidth selection for univariate data
bw_simple Create simple bandwidth object
check_bw_bivariate Check bandwidth vector
check_bw_method Check bw method
check_bw_trivariate Check bandwidth vector
check_data Check the data and grid
check_dmvnorm_arguments Check the arguments for the 'dmvnorm_wrapper' function
check_est_method Check estimation method
check_lg Check that an object has class "lg"
ci_test Test for conditional independence
ci_test_statistic Calculate the value of the test statistic for the conditional independence test
clg The locally Gaussian conditional density estimator
cont_test Test for financial contagion
corplot Plot local correlation maps
dlg The locally Gaussian density estimator (LGDE)
dlg_bivariate Bivariate density estimation
dlg_marginal Marginal density estimation
dlg_marginal_wrapper Marginal estimates for multivariate data
dlg_trivariate Trivariate density estimation
dmvnorm_wrapper Wrapper for 'dmvnorm'
dmvnorm_wrapper_single Wrapper for 'dmvnorm' - single point
gradient Auxiliary function for calculating the asymptotic standard deviations for the local Gaussian correlations
ind_test Independence tests
ind_teststat Function that calculates the test statistic in the independence tests.
interpolate_conditional_density Interpolate a univariate conditional density function
lg 'lg': A package for calculating the local Gaussian correlation in multivariate applications.
lg_main Create an 'lg' object
local_conditional_covariance Calculate the local conditional covariance between two variables
make_C Auxiliary function for calculating the asymptotic standard deviations for the local Gaussian correlations
mvnorm_eval Evaluate the multivariate normal
partial_cor Calculate the local Gaussian partial correlation
replicate_under_ci Bootstrap replication under the null hypothesis
trans_normal Transform the marginals of a multivariate data set to standard normality based on the logspline density estimator (Kooperberg and Stone, 1991). See Otneim and Tjøstheim (2017) for details.
u Auxiliary function for calculating the local score function u