Ordering the first level of the Dvine, depending on the pairwise cAIC-values.
Containing all information, environment of Dvine()
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
Calculated order of the first level of the Dvine, saved in the environment.
Christian Schellhase <firstname.lastname@example.org>
Flexible Pair-Copula Estimation in D-vines using Bivariate Penalized Splines, Kauermann G. and Schellhase C. (2014+), Statistics and Computing (to appear).
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.