Theta2Gamma

Transforms a precision matrix (\(\Theta\) or \(\Theta^k\))
to the corresponding variogram matrix.

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 (2020) <doi:10.1111/rssb.12355>.

Sebastian Engelke

graphicalExtremes

Statistical Methodology for Graphical Extreme Value Models

Adrien S. Hitz

Nicola Gnecco

Manuel Hentschel

Theta2Gamma function

<dl><dt>Theta</dt>
<dd>Numeric \(d \times d\) matrix (if <code>k</code> is <code>NULL</code>)
or \((d-1) \times (d-1)\) matrix (if <code>k</code> is a number).</dd>
<dt>k</dt>
<dd><code>NULL</code> or integer between 1 and d.
If this is <code>NULL</code> the input <code>Theta</code> is interpreted as a \(d \times d\)
precision matrix \(\Theta\), otherwise as \(\Theta^k\).</dd></dl>

Arguments

Transformation of \(\Gamma\) matrix to \(\Theta\) matrix — Theta2Gamma

<dl>

<dt>Theta</dt>
<dd>Numeric \(d \times d\) matrix (if <code>k</code> is <code>NULL</code>)
or \((d-1) \times (d-1)\) matrix (if <code>k</code> is a number).</dd>


<dt>k</dt>
<dd><code>NULL</code> or integer between 1 and d.
If this is <code>NULL</code> the input <code>Theta</code> is interpreted as a \(d \times d\)
precision matrix \(\Theta\), otherwise as \(\Theta^k\).</dd>

</dl>

Theta2Gamma: Transformation of \(\Gamma\) matrix to \(\Theta\) matrix

Description

Usage

Value

Arguments

See Also