pencopulaCond (version 0.2)

pen.log.like: Calculating the log likelihood

Description

Calculating the considered log likelihood.

Usage

pen.log.like(penden.env,cal=FALSE,temp.lam=FALSE,temp.ck=FALSE)

Arguments

penden.env

Containing all information, environment of pencopula()

cal

if TRUE, the final weights of one iteration are used for the calculation of the penalized log likelihood.

temp.lam

Calculating with temporal smoothing parameter lambda

temp.ck

Calculating with temporal weights ck of the spline basis functions

Value

pen.log.like

Penalized log likelihood of the copula density.

log.like

Log-Likelihood of the copula density.

The values are saved in the environment.

Details

The calculation depends on the estimated weights b, the penalized hierarchical B-splines Phi and the penalty paramters lambda.

References

Flexible Copula Density Estimation with Penalized Hierarchical B-Splines, Kauermann G., Schellhase C. and Ruppert, D. (2013), Scandinavian Journal of Statistics 40(4), 685-705.

Estimating Non-Simplified Vine Copulas Using Penalized Splines, Schellhase, C. and Spanhel, F. (2017), Statistics and Computing.