penalty.matrix: Calculating the penalty matrix P(lambda)

In pencopulaCond: Estimating Non-Simplified Vine Copulas Using Penalized Splines

Description

Calculating the penalty matrix P depends on the number of covariates 'p', the order of differences to be penalized 'pen.order', the number of observations 'n' and the penalty parameters 'lambda”.

Usage

penalty.matrix(penden.env, temp = FALSE)

Arguments

penden.env	Containing all information, environment of pencopula().
temp	If TRUE, the iteration for a new 'b' is not finished and a temporary penalty matrix is calculated, default = FALSE.

Value

DDD.sum

Penalty matrix P

Matrix is saved in the environment.

Author(s)

Christian Schellhase <[e-mail]>

References

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.