Calculating the penalty matrix P depends on the used basis
function and the selected kind of penalty.
Usage
pen.matrix(penden.env)
Arguments
penden.env
Containing all information, environment of
paircopula().
Value
DDD.sum
Penalty matrix P
Matrix is saved in the environment.
Details
If paircopula is selected with 'pen=1', the differences of
order 'm' are penalized. Only for Bernstein polynomials: If paircopula is selected with 'pen=2', the
integrated squared second order derivatives are used as penalty.
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.