Transforms the extremal correlation \(\chi\) into the Gamma
matrix
from the definition of a Huesler--Reiss
distribution.
chi2Gamma(chi)
Numeric or matrix. The \(\Gamma\) parameters in the Huesler--Reiss distribution.
Numeric or matrix, with entries between 0 and 1.
The formula for transformation from chi
to \(\Gamma\) that is applied element-wise is
$$\Gamma = (2 \Phi^{-1}(1 - 0.5 \chi))^2,$$
where \(\Phi^{-1}\) is the inverse of the standard normal distribution function.
This is the inverse of Gamma2chi
.