order.Dvine: Ordering the first level of the Dvine.

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

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()

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

Value

order

Calculated order of the first level of the Dvine, 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.