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Fix bug in computation of Ginv and Omega #37

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merged 3 commits into from
Sep 20, 2021

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MalteKurz
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@MalteKurz MalteKurz commented Sep 15, 2021

  • Fix bug in computation of Ginv and Omega
  • Ginv fix only relevant for 2-parametric families in the first tree of the vine
  • For copulas with two parameters the matrix is no diagonal and therefore the inverse needs to be computed via the matrix inverse
  • fix a bug in the computation of the off-diagonal elements of the omega matrix with est uncert; lambda in group is already acknowledged due to the group-specific sample

Both only impacts CCC tests with est uncert

…re the inverse needs to be computed via the matrix inverse
@MalteKurz MalteKurz marked this pull request as draft September 15, 2021 13:43
…a matrix with est uncert; lambda in group is already acknowleged due to the group-specific sample
@MalteKurz MalteKurz changed the title Fix bug in computation of Ginv Fix bug in computation of Ginv and Omega Sep 17, 2021
@MalteKurz MalteKurz marked this pull request as ready for review September 20, 2021 11:36
@MalteKurz MalteKurz merged commit 6ec44e1 into master Sep 20, 2021
@MalteKurz MalteKurz deleted the m-fix-ginv-bug-with-two-par-families branch September 20, 2021 11:41
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