AsymVarMaxLinear: Asymptotic variance matrix for the max-linear model.
Description
Computes the asymptotic variance matrix for the max-linear model, estimated using the weighted least squares estimator.
Usage
AsymVarMaxLinear(indices, par, Bmatrix = NULL)
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.
par
The parameter vector.
Bmatrix
A function that converts the parameter vector theta to a parameter matrix B. If NULL, then a simple 2-factor model is assumed.
Value
A q by q matrix.
References
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.