graphicalExtremes (version 0.1.0)

emp_chi_mat: Empirical estimation of extremal correlation matrix \(\chi\)

Description

Estimates empirically the matrix of bivariate extremal correlation coefficients \(\chi\).

Usage

emp_chi_mat(data, p)

Value

Numeric matrix \(d\times d\). The matrix contains the bivariate extremal coefficients \(\chi_{ij}\), for \(i, j = 1, ..., d\).

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

Run this code
n <- 100
d <- 4
p <- .8
Gamma <- cbind(c(0, 1.5, 1.5, 2),
               c(1.5, 0, 2, 1.5),
               c(1.5, 2, 0, 1.5),
               c(2, 1.5, 1.5, 0))

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

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