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penDvine (version 0.2.4)

Flexible Pair-Copula Estimation in D-Vines using Bivariate Penalized Splines

Description

Flexible Pair-Copula Estimation in D-vines using Bivariate Penalized Splines.

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Version

Install

install.packages('penDvine')

Monthly Downloads

37

Version

0.2.4

License

GPL (>= 2)

Maintainer

Christian Schellhase

Last Published

July 9th, 2015

Functions in penDvine (0.2.4)

Winddata

Maximal daily windspeed in khm.
cal.Dvine

Flexible Pair-Copula Estimation in D-vines with Penalized Splines
Derv1

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

Calculating the marginal likelihood
sim.Dvine

Flexible Pair-Copula Estimation in D-vines with Penalized Splines
bernstein

Flexible Pair-Copula Estimation in D-vines with Penalized Splines
new.weights

Calculating new weights v.
cond.cop

Flexible Pair-Copula Estimation in D-vines with Penalized Splines
my.loop

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

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

Flexible Pair-Copula Estimation in D-vines with Penalized Splines
paircopula

Flexible Pair-Copula Estimation in D-vines using Bivariate Penalized Splines
plot.paircopula

Flexible Pair-Copula Estimation in D-vines with Penalized Splines
pen.matrix

Calculating the penalty matrix P
pen.log.like

Calculating the log likelihood
penDvine-package

The package 'penDvine' offers routines for estimating densities and copula distribution of D-vines.
order.Dvine

Ordering the first level of the Dvine.
Derv2

Calculating the second order derivative of the paircopula likelihood function w.r.t. parameter b
my.IC

Calculating the AIC-, cAIC- and BIC-value