AsymVarGumbel: Asymptotic variance matrix for the Gumbel model.
Description
Computes the asymptotic variance matrix for the Gumbel model, estimated using the pairwise M-estimator or the weighted least squares estimator.
Usage
AsymVarGumbel(indices, par, method)
Arguments
indices
A $q$ x $d$ matrix containing at least 2 non-zero elements per row, representing the values in which we will evaluate the stable tail dependence function. For method = Mestimator, this matrix should contain exactly two ones per row.
par
The parameter of the Gumbel model.
method
Choose between "Mestimator" and "WLS".
Value
A q by q matrix.
Details
The matrix indices can be either user defines or returned by selectGrid. For method = "Mestimator", only a grid with exactly two ones per row is accepted, representing the pairs to be used.
References
Einmahl, J.H.J., Kiriliouk, A., Krajina, A., and Segers, J. (2016). An Mestimator of spatial tail dependence. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 78(1), 275-298.
Einmahl, J.H.J., Kiriliouk, A., and Segers, J. (2016). A continuous updating weighted least squares estimator of tail dependence in high dimensions. See http://arxiv.org/abs/1601.04826.