complete_Gamma_one_step

<p>Given a decomposable <code>graph</code> consisting of two cliques and incomplete
variogram matrix <code>Gamma</code>, returns the full <code>Gamma</code> matrix implied by the
conditional independencies. The rows/columns of <code>Gamma</code> must be ordered
such that the clique of size <code>nA</code> (excluding separator) comes first, then
the separator of size <code>nC</code>, and then the remaining <code>nB</code> vertices.</p>

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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

complete_Gamma_one_step function

Completion of two-clique decomposable Gamma matrices — complete_Gamma_one_step

Completion of two-clique decomposable Gamma matrices

complete_Gamma_one_step: Completion of two-clique decomposable Gamma matrices

Description

Usage

Arguments