Skip to content

Commit e02e00b

Browse files
tnaglertvatter
authored andcommittedApr 4, 2019
add reference to mbicv paper (#168)
1 parent 71a2545 commit e02e00b

File tree

2 files changed

+18
-4
lines changed

2 files changed

+18
-4
lines changed
 

‎R/vinecop_methods.R

+9-2
Original file line numberDiff line numberDiff line change
@@ -193,8 +193,8 @@ logLik.vinecop <- function(object, ...) {
193193
#'
194194
#' The modified vine copula Bayesian information criterion (mBICv) is defined as
195195
#'
196-
#' \deqn{\mathrm{BIC} = -2\, \mathrm{loglik} + \nu \log(n) - 2 *
197-
#' \sum_{t=1}^{d - 1} \{q_t \log(\psi_0^t) - (d - t - q_t) \log(1 - \psi_0^t)\}
196+
#' \deqn{BIC = -2 loglik + \nu log(n) - 2
197+
#' \sum_{t=1}^{d - 1} (q_t log(\psi_0^t) - (d - t - q_t) log(1 - \psi_0^t))
198198
#' }
199199
#'
200200
#' where \eqn{\mathrm{loglik}} is the log-likelihood and \eqn{\nu} is the
@@ -207,6 +207,13 @@ logLik.vinecop <- function(object, ...) {
207207
#' @param object a fitted `vinecop` object.
208208
#' @param psi0 baseline prior probability of a non-independence copula.
209209
#' @param newdata optional; a new data set.
210+
#'
211+
#' @references Nagler, T., Bumann, C., Czado, C. (2019).
212+
#' Model selection for sparse high-dimensional vine copulas with application
213+
#' to portfolio risk.
214+
#' *Journal of Multivariate Analysis, in press*
215+
#' (\url{https://arxiv.org/pdf/1801.09739.pdf})
216+
#'
210217
#' @export mBICV
211218
#' @examples
212219
#' u <- sapply(1:5, function(i) runif(50))

‎man/mBICV.Rd

+9-2
Some generated files are not rendered by default. Learn more about customizing how changed files appear on GitHub.

0 commit comments

Comments
 (0)