Flexible Copula Density Estimation with Penalized Hierarchical B-Splines

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... |

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