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|seen||Nov 5 '13 at 13:38|
|bio||website||ericbeurre.com||visits||member for||1 year, 3 months|
|location||Durham, NC||seen||Nov 5 '13 at 13:38|
Tools in R for estimating time-varying copulas?
@vonjd late better than never ... my point is pretty darn specific :: "time-varying copula" is an academic exercise -- if you want to understand the dependence structure between your variables over time, you are introducing a graphical model. Call it whatever floats your boat. Hopefully my answer will direct others considering this approach to graphical models. Voila two great places to start a search: cran and pypi.