Gamma2chi

Numeric or matrix, with positive entries.

Gamma

Transforms the <code>Gamma</code> matrix from the definition of a Huesler--Reiss
distribution into the corresponding extremal correlation \(\chi\).

Statistical methodology for sparse multivariate extreme value models. Methods are
provided for exact simulation and statistical inference for multivariate Pareto distributions
on graphical structures as described in the paper 'Graphical Models for Extremes' by
Engelke and Hitz (2018) <arXiv:1812.01734>.

Sebastian Engelke

graphicalExtremes

Statistical Methodology for Graphical Extreme Value Models

Adrien S. Hitz

Nicola Gnecco

Gamma2chi function

<dl><dt>Gamma</dt>
<dd>Numeric or matrix, with positive entries.</dd></dl>

Arguments

Transformation of the Huesler--Reiss variogram \(\Gamma\) to extremal correlation \(\chi\) — Gamma2chi

<dl>

<dt>Gamma</dt>
<dd>Numeric or matrix, with positive entries.</dd>

</dl>

Gamma2chi: Transformation of the Huesler--Reiss variogram \(\Gamma\) to extremal correlation \(\chi\)

Description

Usage

Value

Arguments

Details