pencopula: Flexible Copula Density Estimation with Penalized Hierarchical B-Splines

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Flexible copula density estimation with penalized hierarchical B-Splines.

Author
Christian Schellhase <cschellhase@wiwi.uni-bielefeld.de>
Date of publication
2014-02-26 15:11:20
Maintainer
Christian Schellhase <cschellhase@wiwi.uni-bielefeld.de>
License
GPL (>= 2)
Version
0.3.5

View on CRAN

Man pages

bernstein
Calculating a bernstein polynomial.
Derv1
Calculating the first derivative of the pencopula likelihood...
Derv2
Calculating the second order derivative with and without...
DeutscheBank
Daily final prices (DAX) of the German stock Deutsche Bank in...
distr.func.help
These functions are used for calculating the integral of the...
f.hat.val
Calculating the actual fitted values 'f.hat.val' of the...
grid.points
Calculating the start values 'b' for the first iteration of...
hierarch.bs
Construction of the hierarchical B-spline density basis.
knots.start
Calculating the knots.
Lufthansa
Daily final prices (DAX) of the German stock Lufthansa in the...
my.bspline
my.bspline
my.IC
Calculating the AIC- and BIC-value
my.loop
Iterative loop for calculating the optimal coefficients 'b'.
my.positive.definite.solve
my.positive.definite.solve
new.weights
Calculating new weights b.
penalty.matrix
Calculating the penalty matrix P(lambda)
pencopula
Calculating penalized copula density with penalized...
pencopula-package
The package 'pencopula' offers routines for estimating...
pendenForm
Formula interpretation and data transfer
pen.log.like
Calculating the log likelihood
plot.pencopula
Plot the estimated copula density or copula distribution.
print.pencopula
Printing the main results of the penalized copula density...

Files in this package

pencopula
pencopula/NAMESPACE
pencopula/data
pencopula/data/DeutscheBank.txt.gz
pencopula/data/Lufthansa.txt.gz
pencopula/R
pencopula/R/my.positive.definite.solve.R
pencopula/R/knots.order.R
pencopula/R/distr.func.help.R
pencopula/R/pen.log.like.R
pencopula/R/penalty.matrix.R
pencopula/R/new.weights.R
pencopula/R/cal.int.R
pencopula/R/my.IC.R
pencopula/R/my.loop.R
pencopula/R/plot.pencopula.R
pencopula/R/Derv2.R
pencopula/R/knots.transform.R
pencopula/R/hierarch.bs.R
pencopula/R/int.my.bspline.R
pencopula/R/calculate.R
pencopula/R/bernstein.R
pencopula/R/my.bspline.R
pencopula/R/f.hat.val.R
pencopula/R/pendenForm.R
pencopula/R/knots.start.R
pencopula/R/print.pencopula.R
pencopula/R/start.valgrid.R
pencopula/R/grid.points.R
pencopula/R/Derv1.R
pencopula/R/pencopula.R
pencopula/R/poly.part.R
pencopula/MD5
pencopula/DESCRIPTION
pencopula/man
pencopula/man/Derv1.Rd
pencopula/man/Lufthansa.Rd
pencopula/man/distr.func.help.Rd
pencopula/man/pen.log.like.Rd
pencopula/man/my.IC.Rd
pencopula/man/f.hat.val.Rd
pencopula/man/my.positive.definite.solve.Rd
pencopula/man/my.bspline.Rd
pencopula/man/DeutscheBank.Rd
pencopula/man/my.loop.Rd
pencopula/man/print.pencopula.Rd
pencopula/man/bernstein.Rd
pencopula/man/pendenForm.Rd
pencopula/man/pencopula.Rd
pencopula/man/pencopula-package.Rd
pencopula/man/hierarch.bs.Rd
pencopula/man/grid.points.Rd
pencopula/man/Derv2.Rd
pencopula/man/new.weights.Rd
pencopula/man/penalty.matrix.Rd
pencopula/man/plot.pencopula.Rd
pencopula/man/knots.start.Rd