pen.matrix: Calculating the penalty matrix P

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

Description

Calculating the penalty matrix P depends on the used basis function and the selected kind of penalty.

Usage

pen.matrix(penden.env)

Arguments

penden.env

Containing all information, environment of paircopula().

Details

If paircopula is selected with 'pen=1', the differences of order 'm' are penalized. Only for Bernstein polynomials: If paircopula is selected with 'pen=2', the integrated squared second order derivatives are used as penalty.

Value

DDD.sum

Penalty matrix P

Matrix is 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.