graphicalExtremes (version 0.1.0)

emp_chi: Empirical estimation of extremal correlation \(\chi\)

Description

Estimates the \(d\)-dimensional extremal correlation coefficient \(\chi\) empirically.

Usage

emp_chi(data, p)

Value

Numeric. The empirical \(d\)-dimensional extremal correlation coefficient \(\chi\)

for the data.

Arguments

data

Numeric matrix of size \(n\times d\), where \(n\) is the number of observations and \(d\) is the dimension.

p

Numeric between 0 and 1. Probability used for the quantile to compute the \(\chi\) coefficient.

Examples

n <- 100
d <- 2
p <- .8
G <-  cbind(c(0, 1.5),
            c(1.5, 0))

set.seed(123)
my_data = rmstable(n, "HR", d = d, par = G)
emp_chi(my_data, p)

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