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pencopula (version 0.3.5.1)

Flexible Copula Density Estimation with Penalized Hierarchical B-Splines

Description

Flexible copula density estimation with penalized hierarchical B-Splines.

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Version

Install

install.packages('pencopula')

Monthly Downloads

91

Version

0.3.5.1

License

GPL (>= 2)

Maintainer

Christian Schellhase

Last Published

August 31st, 2018

Functions in pencopula (0.3.5.1)

f.hat.val

Calculating the actual fitted values 'f.hat.val' of the estimated density function
my.positive.definite.solve

my.positive.definite.solve
plot.pencopula

Plot the estimated copula density or copula distribution.
print.pencopula

Printing the main results of the penalized copula density estimation
bernstein

Calculating a bernstein polynomial.
distr.func.help

These functions are used for calculating the integral of the B-spline density basis.
hierarch.bs

Construction of the hierarchical B-spline density basis.
knots.start

Calculating the knots.
penalty.matrix

Calculating the penalty matrix P(lambda)
pencopula-package

The package 'pencopula' offers routines for estimating multivariate penalized copula densities and copula distribution.
Derv1

Calculating the first derivative of the pencopula likelihood function w.r.t. parameter b
Derv2

Calculating the second order derivative with and without penalty.
new.weights

Calculating new weights b.
pen.log.like

Calculating the log likelihood
DeutscheBank

Daily final prices (DAX) of the German stock Deutsche Bank in the years 2006 and 2007
pencopula

Calculating penalized copula density with penalized hierarchical B-splines
Lufthansa

Daily final prices (DAX) of the German stock Lufthansa in the years 2006 and 2007
my.IC

Calculating the AIC- and BIC-value
pendenForm

Formula interpretation and data transfer
my.bspline

my.bspline
start.valgrid

Calculating the start values 'b' for the first iteration of the quadratic program.
my.loop

Iterative loop for calculating the optimal coefficients 'b'.