| Derv2 {pencopulaCond} | R Documentation |
Calculating the second order derivative with and without penalty.
Description
Calculating the second order derivative with and without penalty.
Usage
Derv2(penden.env, temp.lam = FALSE,temp.ck=FALSE,lam.fit=NULL)
Arguments
penden.env |
Containing all information, environment of pendensity() |
temp.lam |
Calculating with temporal smoothing parameter lambda |
temp.ck |
Calculating with temporal weights ck of the spline basis functions |
lam.fit |
Indicating if the iterations for a new lambda are running |
Details
We approximate the second order derivative in this approach with the negative fisher information.
Value
Derv2.pen |
second order derivative w.r.t. beta with penalty |
Derv2.cal |
second order derivative w.r.t. beta without penalty. Needed for calculating of e.g. AIC. |
Derv2.cal and Derv2.pen are saved in the environment.
Author(s)
Christian Schellhase <cschellhase@wiwi.uni-bielefeld.de>
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.