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

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Description

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

Usage

1
Derv1(penden.env,temp=FALSE,lambda=NULL)

Arguments

penden.env

Containing all information, environment of paircopula().

temp

Default=FALSE,if TRUE temporary calculations of optimal parameters are done.

lambda

Default=NULL, i.e. the saved smoothing parameter lambda in the environment is used. Alternatively, temporary values of lambda are used for optimization of lambda.

Details

The calculation of the first derivative of the paircopula likelihood function w.r.t. b equals

\eqn{s(v,lambda)=}

with

\eqn{P(lambda)}

is the penalty matrix, saved in the environment.

Value

Derv1.pen

first order derivation of the penalized likelihood function w.r.t. parameter v.

Derv1.pen is saved in the environment.

Author(s)

Christian Schellhase <cschellhase@wiwi.uni-bielefeld.de>

References

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