graphicalExtremes (version 0.1.0)

emp_vario: Estimation of the variogram matrix \(\Gamma\) of the Huesler--Reiss distribution

Description

Estimates the variogram of the Huesler--Reiss distribution empirically.

Usage

emp_vario(data, k = NULL, p = NULL)

Value

Numeric matrix \(d \times d\). The estimated variogram of the Huesler--Reiss distribution.

Arguments

data

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

k

Integer between 1 and \(d\). Component of the multivariate observations that is conditioned to be larger than the threshold p. If NULL (default), then an average over all k is returned.

p

Numeric between 0 and 1 or NULL. If NULL (default), it is assumed that the data are already on multivariate Pareto scale. Else, p is used as the probability in the function data2mpareto to standardize the data.