Flexible Copula Density Estimation with Penalized Hierarchical B-Splines

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Documentation for package ‘pencopula’ version 0.3.2

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pencopula-package The package 'pencopula' offers routines for estimating multivariate penalized copula densities and copula distribution.
bernstein Calculating a bernstein polynomial.
Derv1 Calculating the first derivative of the pencopula likelihood function w.r.t. parameter b
Derv2 Calculating the second order derivative with and without penalty.
DeutscheBank Daily final prices (DAX) of the German stock Deutsche Bank in the years 2006 and 2007
distr.func.help These functions are used for calculating the integral of the B-spline density basis.
f.hat.val Calculating the actual fitted values 'f.hat.val' of the estimated density function
grid.points Calculating the start values 'b' for the first iteration of the quadratic program.
hierarch.bs Construction of the hierarchical B-spline density basis.
int.bernstein Calculating a bernstein polynomial.
int.my.bspline my.bspline
knots.order Calculating the knots.
knots.start Calculating the knots.
knots.transform Calculating the knots.
Lufthansa Daily final prices (DAX) of the German stock Lufthansa in the years 2006 and 2007
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.
pen.log.like Calculating the log likelihood
penalty.matrix Calculating the penalty matrix P(lambda)
pencopula Calculating penalized copula density with penalized hierarchical B-splines
pendenForm Formula interpretation and data transfer
plot.pencopula Plot the estimated copula density or copula distribution.
poly.part These functions are used for calculating the integral of the B-spline density basis.
print Printing the main results of the penalized copula density estimation
print.pencopula Printing the main results of the penalized copula density estimation
start.valgrid Calculating the start values 'b' for the first iteration of the quadratic program.