emp_vario: Estimation of the variogram matrix \(\Gamma\) of a Huesler-Reiss distribution
Description
Estimates the variogram of the Huesler-Reiss distribution empirically.
Usage
emp_vario(data, k = NULL, p = NULL)
emp_vario_pairwise(data, k = NULL, p = NULL, verbose = FALSE)
Value
Numeric \(d \times d\) matrix. The estimated variogram of the Huesler-Reiss distribution.
Arguments
data
Numeric \(n \times d\) matrix, 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.
verbose
Print verbose progress information
Details
emp_vario_pairwise calls emp_vario for each pair of observations.
This is more robust if the data contains many NAs, but can take rather long.