new.weights: Calculating new weights b.
In pencopulaCond: Estimating Non-Simplified Vine Copulas Using Penalized Splines

Description Usage Arguments Details Value Author(s) References

Calculating new weights b using quadratic programing.

1	new.weights(penden.env,start=FALSE)

`penden.env`	Containing all information, environment of pencopula()
`start`	Default=FALSE, for the first calculation some specifications are introduced.

If the quadratic program does not find a new feasible solution, the whole program terminates. For solving the quadratic program, we use the function 'solve.QP' from the R-package 'quadprog'.

ck.val.temp

Calculated new values for the weights 'b'. The add on 'temp' means, that there is a check in the next step if the weights 'b' have been converted or not. If converted, the new values 'ck.val.temp' are unnoted. If not converted, 'ck.val.temp' become the ordinary 'ck.val' for the next iteration. This check is done in my.loop.

'ck.val.temp' is saved in the environment.

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

Flexible Copula Density Estimation with Penalized Hierarchical B-Splines, Kauermann G., Schellhase C. and Ruppert, D. (2013), Scandinavian Journal of Statistics 40(4), 685-705.

Estimating Non-Simplified Vine Copulas Using Penalized Splines, Schellhase, C. and Spanhel, F. (2017), Statistics and Computing.

pencopulaCond documentation built on May 1, 2019, 7:56 p.m.