penDvine (version 0.2.4)

my.loop: Iterative loop for calculating the optimal coefficients 'v'.

Description

Calculating the optimal coefficients 'v' iteratively, using quadratic programing.

Usage

my.loop(penden.env)

Arguments

penden.env

Containing all information, environment of pencopula()

Value

liste

The results of each iteration are written in a matrix called 'liste', saved in the environment. 'liste' contains the penalized log-likelihood, the log-likelihood, 'lambda' and the weights 'v'.

Details

'my.loop' optimates the log-likelihhod iteratively. Therefore, the routine checks a) the relative chance in the optimal lambda and stops the iteration, if the relative change of lambda is less than one percent. During the calculations of new weights 'v' in the routine 'new.weights', most of the values are called '.temp'. This add on underlines the temporarily values. Alternatively b) for fixed lambda, 'my.loop' checks the relative change in the weights. If the change of a) the optimal lambda or b) of the basis coefficients 'v' are greater than one percent, the the real values are overwritten with the '.temp' values.

References

Flexible Pair-Copula Estimation in D-vines using Bivariate Penalized Splines, Kauermann G. and Schellhase C. (2014+), Statistics and Computing (to appear).