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penDvine (version 0.1)

Flexible Pair-Copula Estimation in D-vines with Penalized Splines

Description

Flexible Pair-Copula Estimation in D-vines with Penalized Splines.

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Version

Install

install.packages('penDvine')

Monthly Downloads

11

Version

0.1

License

GPL (>= 2)

Maintainer

Christian Schellhase

Last Published

July 16th, 2012

Functions in penDvine (0.1)

marg.likelihood

Calculating the marginal likelihood
new.weights

Calculating new weights v.
my.IC

Calculating the AIC-, cAIC- and BIC-value
pen.matrix

Calculating the penalty matrix P
Derv2

Calculating the second order derivative of the paircopula likelihood function w.r.t. parameter b
cal.Dvine

Flexible Pair-Copula Estimation in D-vines with Penalized Splines
Derv1

Calculating the first derivative of the paircopula likelihood function w.r.t. parameter b
paircopula

Flexible Pair-Copula Estimation in D-vines with Penalized Splines
order.Dvine

Ordering the first level of the Dvine.
plot.paircopula

Flexible Pair-Copula Estimation in D-vines with Penalized Splines
pen.log.like

Calculating the log likelihood
f.hat.val

Calculating the actual fitted values 'f.hat.val' of the estimated density function
my.loop

Iterative loop for calculating the optimal coefficients 'v'.
bernstein

Flexible Pair-Copula Estimation in D-vines with Penalized Splines
Dvine

Flexible Pair-Copula Estimation in D-vines with Penalized Splines
sim.Dvine

Flexible Pair-Copula Estimation in D-vines with Penalized Splines
Winddata

Maximal daily windspeed in khm.
penDvine-package

The package 'penDvine' offers routines for estimating densities and copula distribution of D-vines.
cond.cop

Flexible Pair-Copula Estimation in D-vines with Penalized Splines