Package: lg 0.4.1

lg: Locally Gaussian Distributions: Estimation and Methods

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.

Authors:Håkon Otneim [aut, cre]

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lg.pdf |lg.html✨
lg/json (API)
NEWS

# Install 'lg' in R:
install.packages('lg', repos = c('https://hotneim.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/hotneim/lg/issues

On CRAN:

Conda:

4.18 score 4 stars 25 scripts 210 downloads 3 mentions 19 exports 58 dependencies

Last updated 5 years agofrom:458b38dabd. Checks:8 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 02 2025
R-4.5-winOKMar 02 2025
R-4.5-macOKMar 02 2025
R-4.5-linuxOKMar 02 2025
R-4.4-winOKMar 02 2025
R-4.4-macOKMar 02 2025
R-4.3-winOKMar 02 2025
R-4.3-macOKMar 02 2025

Exports:bw_selectbw_select_cv_bivariatebw_select_cv_trivariatebw_select_cv_univariatebw_select_plugin_multivariatebw_select_plugin_univariatebw_simpleci_testclgcont_testcorplotdlgdlg_bivariatedlg_marginaldlg_marginal_wrapperdlg_trivariateind_testlg_mainpartial_cor

Dependencies:bootclicodetoolscolorspacecubaturecurlfansifarverFNNforeachggplot2gluegtableisobanditeratorsjsonlitekernlabKernSmoothkslabelinglatticelifecyclelocalgausslogsplinemagrittrMASSMatrixMatrixModelsmatrixStatsmclustmgcvmulticoolmunsellmvtnormnlmenppillarpkgconfigpracmaquadprogquantmodquantregR6RColorBrewerRcpprlangscalesSparseMsurvivaltibbletseriesTTRutf8vctrsviridisLitewithrxtszoo

Readme and manuals

Help Manual

Help pageTopics
Generate sample from a conditional density estimateaccept_reject
Bandwidth selection for local Gaussian correlation.bw_select
Cross-validation for bivariate distributionsbw_select_cv_bivariate
Cross-validation for trivariate distributionsbw_select_cv_trivariate
Cross-validation for univariate distributionsbw_select_cv_univariate
Plugin bandwidth selection for multivariate databw_select_plugin_multivariate
Plugin bandwidth selection for univariate databw_select_plugin_univariate
Create simple bandwidth objectbw_simple
Check bandwidth vectorcheck_bw_bivariate
Check bw methodcheck_bw_method
Check bandwidth vectorcheck_bw_trivariate
Check the data and gridcheck_data
Check the arguments for the 'dmvnorm_wrapper' functioncheck_dmvnorm_arguments
Check estimation methodcheck_est_method
Check that an object has class "lg"check_lg
Test for conditional independenceci_test
Calculate the value of the test statistic for the conditional independence testci_test_statistic
The locally Gaussian conditional density estimatorclg
Test for financial contagioncont_test
Plot local correlation mapscorplot
The locally Gaussian density estimator (LGDE)dlg
Bivariate density estimationdlg_bivariate
Marginal density estimationdlg_marginal
Marginal estimates for multivariate datadlg_marginal_wrapper
Trivariate density estimationdlg_trivariate
Wrapper for 'dmvnorm'dmvnorm_wrapper
Wrapper for 'dmvnorm' - single pointdmvnorm_wrapper_single
Auxiliary function for calculating the asymptotic standard deviations for the local Gaussian correlationsgradient
Independence testsind_test
Function that calculates the test statistic in the independence tests.ind_teststat
Interpolate a univariate conditional density functioninterpolate_conditional_density
'lg': A package for calculating the local Gaussian correlation in multivariate applications.lg
Create an 'lg' objectlg_main
Calculate the local conditional covariance between two variableslocal_conditional_covariance
Auxiliary function for calculating the asymptotic standard deviations for the local Gaussian correlationsmake_C
Evaluate the multivariate normalmvnorm_eval
Calculate the local Gaussian partial correlationpartial_cor
Bootstrap replication under the null hypothesisreplicate_under_ci
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.trans_normal
Auxiliary function for calculating the local score function uu