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penRvine (version 0.2)

Flexible R-Vines Estimation Using Bivariate Penalized Splines

Description

Offers routines for estimating densities and copula distribution of R-vines using penalized splines.

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Version

Install

install.packages('penRvine')

Monthly Downloads

4

Version

0.2

License

GPL (>= 2)

Maintainer

Christian Schellhase

Last Published

May 21st, 2017

Functions in penRvine (0.2)

f.hat.val

Calculating the actual fitted values 'f.hat.val' of the estimated density function
independ.test

Testing for independence between two margins of pair-copulas
my.IC

Calculating the AIC-, cAIC- and BIC-value
my.loop

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

Notation of the R-vine Matrix
bernstein

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

Calculating the penalty matrix P
penRvine-package

Flexible R-vines Estimation Using Bivariate Penalized Splines
Derv1

Calculating the first derivative of the paircopula likelihood function w.r.t. parameter b
Derv2

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

Flexible Pair-Copula Estimation in R-vines using Bivariate Penalized Splines
pen.log.like

Calculating the log likelihood
lam.search

Search optimal starting vlaue for lambda
marg.likelihood

Calculating the marginal likelihood
new.weights

Calculating new weights v.
order.vine,test.ind

Ordering the first level of the R-vine.
cal.vine

Flexible Pair-Copula Estimation in R-vines with Penalized
cond.cop

Flexible Pair-Copula Estimation in R-vines with Penalized
plot.paircopula

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

Flexible Pair-Copula Estimation in vines with Penalized Splines