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penRvine (version 0.2)

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

Description

Calculation of the conditional paircopulas.

Usage

cond.cop(data,coef,K,diff="u2",Index.basis.D,base,q=2,env,kn1,kn2,int.base1,int.base2,ddb)

Arguments

data
Considered bivariate data, later used as "u1" and "u2".
coef
Considered coefficients of the splines.
K
Number of marginal knots.
diff
Default="u2", alternatively diff="u1". Determining in which direction the pair-copula is differentiated.
Index.basis.D
Vector of indices built in the program before.
base
"B-spline" or "Bernstein".
q
Order of the B-spline, default=2
env
Environment with needed data.
kn1
Marginal knots for the first covariate.
kn2
Marginal knots for the second covariate.
int.base1
Integrated marginal density basis of the first covariate.
int.base2
Integrated marginal density basis of the second covariate.
ddb
Number of coefficients

References

Flexible Pair-Copula Estimation in D-vines using Bivariate Penalized Splines, Kauermann, G. and Schellhase, C. (2014), Statistics and Computing 24(6): 1081-1100).

Nonparametric estimation of simplified vines: comparison of methods, Nagler N., Schellhase, C. and Czado, C. (2017) Dependence Modeling.