pen.matrix: Calculating the penalty matrix P
In penRvine: Flexible R-Vines Estimation Using Bivariate Penalized Splines

Description Usage Arguments Details Value Author(s) References

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

1	pen.matrix(penden.env)

penden.env

Containing all information, environment of paircopula().

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.

DDD.sum

Penalty matrix P

Matrix is saved in the environment.

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

Flexible Pair-Copula Estimation in D-vines using Bivariate Penalized Splines, Kauermann, G. and Schellhase, C. (2014), Statistics and Computing 24(6): 1081-1100).

Nonparametric estimation of simplified vines: comparison of methods, Nagler N., Schellhase, C. and Czado, C. (2017) Dependence Modeling.

penRvine documentation built on May 30, 2017, 2:20 a.m.