emp_vario

emp_vario_pairwise

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

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

emp_vario function

<dl><dt>data</dt>
<dd>Numeric \(n \times d\) matrix, where <code>n</code> is the
number of observations and <code>d</code> is the dimension.</dd>
<dt>k</dt>
<dd>Integer between 1 and <code>d</code>. Component of the multivariate
observations that is conditioned to be larger than the threshold <code>p</code>.
If <code>NULL</code> (default), then an average over all <code>k</code> is returned.</dd>
<dt>p</dt>
<dd>Numeric between 0 and 1 or <code>NULL</code>. If <code>NULL</code> (default),
it is assumed that the <code>data</code> are already on multivariate Pareto scale. Else,
<code>p</code> is used as the probability in the function <code>data2mpareto()</code>
to standardize the <code>data</code>.</dd>
<dt>verbose</dt>
<dd>Print verbose progress information</dd></dl>

Arguments

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

<dl>

<dt>data</dt>
<dd>Numeric \(n \times d\) matrix, where <code>n</code> is the
number of observations and <code>d</code> is the dimension.</dd>


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


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


<dt>verbose</dt>
<dd>Print verbose progress information</dd>

</dl>

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

Description

Usage

Value

Arguments

Details