Derv2: Calculating the second order derivative of the paircopula likelihood function w.r.t. parameter b
Description
Calculating the second order derivative of the paircopula likelihood function
w.r.t. parameter v.
Usage
Derv2(penden.env,temp=FALSE,lambda=NULL)
Arguments
penden.env
Containing all information, environment of
paircopula().
temp
Default=FALSE,if TRUE temporary calculations of
optimal parameters are done.
lambda
Default=NULL, i.e. the saved smoothing parameter lambda in the
environment is used. Alternatively, temporary values of lambda
are used for optimization of lambda.
Value
Derv2.pensecond order derivative w.r.t. v with penalty
Derv2.calsecond order derivative w.r.t. v without
penalty. Needed for calculating of e.g. AIC.
Derv2.cal and Derv2.pen are saved in the environment.
Details
We approximate the second order derivative in this approach with the negative fisher information.
References
Flexible Pair-Copula Estimation in D-vines using Bivariate Penalized Splines, Kauermann G. and Schellhase C. (2012), working paper