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penDvine (version 0.1)

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

Description

Calculating D-vines with penalized B-splines or penalized Bernstein polynomials

Usage

Dvine(data,K=8,lambda=100,order.Dvine=TRUE,pen=1,doMC=TRUE,base="Bernstein",m=2)

Arguments

data
'data' contains the data. 'data' has to be a matrix or a data.frame with two columns.
K
K is the degree of the Bernstein polynomials. In the case of linear B-spline basis functions, K+1 nodes are used for the basis functions.
lambda
Starting value for lambda, default is lambda=100.
order.Dvine
Indicating if the first level of the Dvine is ordered, default (order.Dvine=TRUE).
pen
'pen' indicates the used penalty. 'pen=1' for the difference penalty of m-th order. 'pen=2' is only implemented for Bernstein polynomials, it is the penalty based on the integrated squared second order derivatives of the Bernstein polynomials.
doMC
Indicating if parallel computing using the doMC-pacakges is done, default is TRUE. 'doMC' does not work for Windows PC.
base
Type of basis function, default is "Bernstein". An alternative is base="B-spline".
m
Indicating the order of differences to be penalised. Default is "m=2".

Value

  • Returning an Dvine.

Details

The calculation of the Dvine is done stepwise. If the option 'order.Dvine' is selected, the order of the first level of the Dvine is specifed. From the second level, each paircopula is calculated (parallel or not) until the highest level. The specifications in 'Dvine' are done for every paircopula in the Dvine. There is no option to change parameters for some paircopulas.

References

Flexible Pair-Copula Estimation in D-vines with Penalized Splines, Kauermann G. and Schellhase C. (2012), to appear.