plotEC

It generates a scatterplot of pairwise parametric versus non-parametric extremal coefficients.
It marks which ones extremal coefficients are between flow connected nodes. Used for application on rivers.

Provides tools for estimation of edge weights on graphical models with respect to trees and block graphs and parameterized by a particular family of max-stable copulas. The edge weights are parameters of tail dependence between adjacent variables and these edge weights determine the joint tail dependence between all variables in the context of a particular parametric model. For methods of moment estimator, composite likelihood estimator please see Asenova et al. (2021) <doi:10.1007/s10687-021-00407-5>. For estimation based on extremal coefficients see Asenova et al. (2021) as well as Einmahl et al. (2016) <doi:10.2139/ssrn.2717531>. For cliquewise estimation please see Engelke and Hitz (2020) <doi:10.1111/rssb.12355>.

Stefka Asenova

gremes

Estimation of Tail Dependence in Graphical Models

plotEC function

<dl><dt>matT</dt>
<dd>Matrix of parametric estimates of pairwise extremal coefficients</dd>
<dt>matE</dt>
<dd>Matrix of non-parametric estimates of pairwise extremal coefficients</dd>
<dt>flowConnect</dt>
<dd>Matrix of ones and zeros: 1 at row i and column j means that node i and node j are
flow connected</dd>
<dt>...</dt>
<dd>additional arguments</dd></dl>

Arguments

Plots Extremal coefficients — plotEC

<dl>

<dt>matT</dt>
<dd>Matrix of parametric estimates of pairwise extremal coefficients</dd>


<dt>matE</dt>
<dd>Matrix of non-parametric estimates of pairwise extremal coefficients</dd>


<dt>flowConnect</dt>
<dd>Matrix of ones and zeros: 1 at row i and column j means that node i and node j are
flow connected</dd>


<dt>...</dt>
<dd>additional arguments</dd>

</dl>

plotEC: Plots Extremal coefficients

Description

Usage

Value

Arguments