svinecop_hessian: Expected hessian for S-vine copula models

In svines: Stationary Vine Copula Models

Expected hessian for S-vine copula models

Description

Expected hessian for S-vine copula models

Usage

svinecop_hessian(u, model, cores = 1)

Arguments

u	the data; should have approximately uniform margins..
model	model inheriting from class svinecop_dist.
cores	number of cores to use; if larger than one, computations are done in parallel on cores batches .

Value

Returns the observed Hessian matrix. Rows/columns correspond to to model parameters in the order: copula parameters of first tree, copula parameters of second tree, etc. Duplicated parameters in the copula model are omitted.

See Also

svinecop_scores

Examples

# load data set
data(returns)

# convert to uniform margins
u <- pseudo_obs(returns[1:100, 1:3])

# fit parametric S-vine copula model with Markov order 1
fit <- svinecop(u, p = 1, family_set = "parametric")

svinecop_loglik(u, fit)
svinecop_scores(u, fit)
svinecop_hessian(u, fit)

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