compute_matrix_alpha {ElliptCopulas} | R Documentation |
This matrix of coefficient is useful for the estimation of higher-order derivatives of an elliiptical distribution density generator. It is introduced in Section 3 of (Ryan and Derumigny, 2024).
compute_matrix_alpha(kmax, grid, a, d)
kmax |
order the derivative that we want to compute |
grid |
the grid of the values at which we want to compute the derivative |
a |
the tuning parameter controlling the bias of the estimator at zero. |
d |
the dimension of the problem |
a (kmax+1) * (kmax+1) * length(grid)
array
Victor Ryan, Alexis Derumigny
Ryan, V., & Derumigny, A. (2024). On the choice of the two tuning parameters for nonparametric estimation of an elliptical distribution generator arxiv:2408.17087.
This function uses the internal functions derivative.tau
and derivative.psi
.
See also vectorized_Faa_di_Bruno
.
kmax = 1
d = 3
grid = 0.2
a = 0.8
compute_matrix_alpha(kmax = kmax, grid = grid, a = a, d = d)