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pencopula (version 0.2.1)

Flexible Copula Density Estimation with Penalized Hierarchical B-Splines

Description

Flexible copula density estimation with penalized hierarchical B-Splines.

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Version

Install

install.packages('pencopula')

Monthly Downloads

20

Version

0.2.1

License

GPL (>= 2)

Maintainer

Christian Schellhase

Last Published

February 23rd, 2011

Functions in pencopula (0.2.1)

Lufthansa

Daily final prices (DAX) of the German stock Lufthansa in the years 2006 and 2007
my.loop

Iterative loop for calculating the optimal coefficients 'b'.
f.hat.val

Calculating the actual fitted values 'f.hat.val' of the estimated density function
pen.log.like

Calculating the log likelihood
my.IC

Calculating the AIC- and BIC-value
bernstein

Calculating a bernstein polynomial.
penalty.matrix

Calculating the penalty matrix P(lambda)
Derv2

Calculating the second order derivative with and without penalty.
pencopula-package

The package 'pencopula' offers routines for estimating multivariate penalized copula densities and copula distribution.
my.bspline

my.bspline
print.pencopula

Printing the main results of the penalized copula density estimation
start.valgrid

Calculating the start values 'b' for the first iteration of the quadratic program.
plot.pencopula

Plot the estimated copula density or copula distribution.
knots.start

Calculating the knots.
new.weights

Calculating new weights b.
hierarch.bs

Construction of the hierarchical B-spline density basis.
distr.func.help

These functions are used for calculating the integral of the B-spline density basis.
pencopula

Calculating penalized copula density with penalized hierarchical B-splines
pendenForm

Formula interpretation and data transfer
Derv1

Calculating the first derivative of the pencopula likelihood function w.r.t. parameter b
DeutscheBank

Daily final prices (DAX) of the German stock Deutsche Bank in the years 2006 and 2007