lambda.HR: Valid set of parameters for the 3-dimensional Husler-Reiss...
In ExtremalDep: Extremal Dependence Models
lambda.HR R Documentation
Valid set of parameters for the 3-dimensional Husler-Reiss model.
Description
Given two parameters of the Husler-Reiss model, this function evaluates the range of values the third parameter can take to ensure a positive definite matrix in the model.
Usage
lambda.HR(lambda)
Arguments
lambda
A vector of length 3 containing one NA and two positive values. The NA corresponds to the parameter for which the range is calculated.
Details
As indicated in Engelke et al (2015), the matrix with 0 diagonal and squared lambda parameters on the off-diagonal needs to be strictly conditionally ngeative definite.
Value
A 2 \times 3 matrix with, ont top, the lowest value of the parameter corresponding to the NA value in the input, and on the bottom the largest value.
Author(s)
Simone Padoan, simone.padoan@unibocconi.it,
https://faculty.unibocconi.it/simonepadoan/;
Boris Beranger, borisberanger@gmail.com
https://www.borisberanger.com;
References
Engelke, S., Malinowski, A., Kabluchko, Z., and Schlather, M. (2015),
Estimation of Husler-Reiss distributions and Brown-Resnick processes,
Journal of the Royal Statistical Society, Series B (Methodological), 77, 239–265.
Examples
ls <- lambda.HR(c(1,2,NA))
dExtDep(x=c(0.1, 0.7, 0.2), method = "Parametric", model = "HR", par = ls[1,], angular = TRUE)
ExtremalDep documentation built on June 29, 2025, 9:06 a.m.
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| lambda.HR | R Documentation |
Valid set of parameters for the 3-dimensional Husler-Reiss model.
Description
Given two parameters of the Husler-Reiss model, this function evaluates the range of values the third parameter can take to ensure a positive definite matrix in the model.
Usage
lambda.HR(lambda)
Arguments
lambda |
A vector of length 3 containing one NA and two positive values. The NA corresponds to the parameter for which the range is calculated. |
Details
As indicated in Engelke et al (2015), the matrix with 0 diagonal and squared lambda parameters on the off-diagonal needs to be strictly conditionally ngeative definite.
Value
A 2 \times 3 matrix with, ont top, the lowest value of the parameter corresponding to the NA value in the input, and on the bottom the largest value.
Author(s)
Simone Padoan, simone.padoan@unibocconi.it, https://faculty.unibocconi.it/simonepadoan/; Boris Beranger, borisberanger@gmail.com https://www.borisberanger.com;
References
Engelke, S., Malinowski, A., Kabluchko, Z., and Schlather, M. (2015), Estimation of Husler-Reiss distributions and Brown-Resnick processes, Journal of the Royal Statistical Society, Series B (Methodological), 77, 239–265.
Examples
ls <- lambda.HR(c(1,2,NA))
dExtDep(x=c(0.1, 0.7, 0.2), method = "Parametric", model = "HR", par = ls[1,], angular = TRUE)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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