svinecop_hessian {svines}

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)