pencopulaCond (version 0.2)

Estimating Non-Simplified Vine Copulas Using Penalized Splines

Description

Estimating Non-Simplified Vine Copulas Using Penalized Splines.

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Version

Install

install.packages('pencopulaCond')

Monthly Downloads

188

Version

0.2

License

GPL (>= 2)

Maintainer

Christian Schellhase

Last Published

May 31st, 2017

Functions in pencopulaCond (0.2)

hierarch.bs

Construction of the hierarchical B-spline density basis.

knots.start

Calculating the knots.

distr.func.help

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

f.hat.val

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

cal.Dvine

Estimating Non-Simplified Vine Copulas Using Penalized Splines

cal.vine

Estimating Non-Simplified Vine Copulas Using Penalized Splines

Derv2

Calculating the second order derivative with and without penalty.

marg.likelihood

Calculating the marginal likelihood

my.IC

Calculating the AIC-value

my.positive.definite.solve

new.weights

Calculating new weights b.

pen.log.like

Calculating the log likelihood

penalty.matrix

Calculating the penalty matrix P(lambda)

Derv1

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

my.bspline

my.loop

Iterative loop for calculating the optimal coefficients 'b'.

pendenForm

Formula interpretation and data transfer

plot.pencopula

Plot the estimated copula density or copula distribution.

pencopula

Calculating penalized (conditional) copula density with penalized hierarchical B-splines

pencopulaCond-package

Estimating Non-Simplified Vine Copulas Using Penalized Splines

print.pencopula

Printing the main results of the penalized copula density estimation

vine

"Estimating Non-Simplified Vine Copulas Using Penalized Splines"