svine_scores: Score function of parametric S-vine models

In svines: Stationary Vine Copula Models

Score function of parametric S-vine models

Description

Score function of parametric S-vine models

Usage

svine_scores(x, model, cores = 1)

Arguments

x	the data.
model	S-vine model (inheriting from svine_dist).
cores	number of cores to use.

Value

A returns a n-by-k matrix, where n = NROW(x) and k is the total number of parameters in the model. Parameters are ordered as follows: marginal parameters, copula parameters of first tree, copula parameters of second tree, etc. Duplicated parameters in the copula model are omitted.

Examples

data(returns)
dat <- returns[1:100, 1:2]

# fit parametric S-vine model with Markov order 1
model <- svine(dat, p = 1, family_set = "parametric")

# Implementation of asymptotic variances
I <- cov(svine_scores(dat, model))
H <- svine_hessian(dat, model)
Hi <- solve(H)
Hi %*% I %*% t(Hi) / nrow(dat)

svines documentation built on April 4, 2025, 5:02 a.m.