order.Dvine: Ordering the first level of the Dvine.
Description
Ordering the first level of the Dvine, depending on the pairwise cAIC-values.
Usage
order.Dvine(help.env)
Arguments
help.env
Containing all information, environment of
Dvine()
Value
order
Calculated order of the first level of the Dvine, saved
in the environment.
Details
Beginning in the top tree level of a p-dimensional D-vine, we calculate all
(p,2) 'p over 2' marginal pairwise copulas fitted by
penalized splines. For each pair (i,j) this gives the fitted maximized
likelihood value. We order the variable pairs, subject
to their increasing estimated pairwise cAIC and start with the pair of
covariates with lowest estimated cAIC. We now select the pairs of
variables such that the resulting selection gives a tree. The problem of finding this
selection is equivalent to solve a traveler salesman problem by interpreting the cAIC as distance measure between
two variables. Once this problem is
solved, the specification of the first tree level completely defines the
D-vine
References
Flexible Pair-Copula Estimation in D-vines using Bivariate Penalized
Splines, Kauermann G. and Schellhase C. (2014+), Statistics and Computing (to appear).