Derv2: Calculating the second order derivative of the paircopula...

In penDvine: Flexible Pair-Copula Estimation in D-Vines using Bivariate Penalized Splines

Description

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

Usage

Derv2(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

We approximate the second order derivative in this approach with the negative fisher information.

Value

Derv2.pen	second order derivative w.r.t. v with penalty
Derv2.cal	second order derivative w.r.t. v without penalty. Needed for calculating of e.g. AIC.

Derv2.cal and Derv2.pen are saved in the environment.

Author(s)

Christian Schellhase <[e-mail]>

References

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

penDvine documentation built on May 2, 2019, 1:06 p.m.