penDvine (version 0.2.4)

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

Description

The package 'penDvine' offers routines for estimating densities and distribution of D-vines. For details see the description of the function Dvine().

Details

Package:

penDvine

Type:

Package

Version:

0.2.4

Date:

2015-07-02

License: GPL (>= 2) LazyLoad:

yes

The packages contributes the function 'Dvine()' for estimating densities and distributions of Dvines using penalized splines techniques.

References

Flexible Pair-Copula Estimation in D-vines using Bivariate Penalized Splines, Kauermann G. and Schellhase C. (2014), Statistics and Computing 24(6): 1081-1100).

Examples

#This examples describes the estimation of a D-vine to winddata,
#available in this package. After the margins are prepared, we estimate a
#D-vine using B-splines with 9 (K+1) marginal knots and penalizing second (m=2)
#order differences (pen=1) of the basis coefficients.

data(Winddata)
ex.data<-Winddata[c(1:100),c(1:4)] #examplary subdata for fast calculation
wind.example<-Dvine(ex.data,K=7,pen=1,lambda=100,order.Dvine=FALSE,base="B-spline",m=2,cores=2)