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ReturnCurves (version 1.0.1)

adf_est.class: An S4 class to represent the estimation of the Angular Dependence Function

Description

An S4 class to represent the estimation of the Angular Dependence Function

Usage

adf_est.class(
  dataexp,
  w,
  method,
  q,
  qalphas,
  k,
  constrained,
  tol,
  par_init,
  interval,
  adf
)

Arguments

Slots

dataexp

A matrix containing the data on standard exponential margins.

w

Sequence of rays between 0 and 1. Default is NULL, where a pre-defined grid is used.

method

String that indicates which method is used for the estimation of the angular dependence function. Must either be "hill", to use the Hill estimator Hill1975ReturnCurves, or "cl" to use the smooth estimator based on Bernstein-Bezier polynomials estimated by composite maximum likelihood.

q

Marginal quantile used to define the threshold u_ of the min-projection variable T^1 at ray (t^1_ = t_ - u_ | t_ > u_), and/or Hill estimator Hill1975ReturnCurves. Default is 0.95.

qalphas

A vector containing the marginal quantiles used for the Heffernan and Tawn conditional extremes model HeffernanTawn2004ReturnCurves for each variable, if constrained = TRUE. Default is rep(0.95, 2).

k

Polynomial degree for the Bernstein-Bezier polynomials used for the estimation of the angular dependence function with the composite likelihood method MurphyBarltropetal2024ReturnCurves. Default is 7.

constrained

Logical. If FALSE (Default) no knowledge of the conditional extremes parameters is incorporated in the angular dependence function estimation.

tol

Convergence tolerance for the composite maximum likelihood procedure. Success is declared when the difference of log-likelihood values between iterations does not exceed this value. Default is 0.0001.

par_init

Initial values for the parameters of the Bernstein-Bezier polynomials used for estimation of the angular dependence function with the composite likelihood method MurphyBarltropetal2024ReturnCurves. Default is rep(0, k-1).

interval

Maximum likelihood estimates ^1_x y and ^1_y x from the conditional extremes model if constrained = TRUE.

adf

A vector containing the estimates of the angular dependence function.

References