sigma: Covariance matrix

In gremes: Estimation of Tail Dependence in Graphical Models

Covariance matrix

Description

It computes either a non-parametric estimate of the covariance matrix or a parametric form of the covariance matrix.

Usage

sigma(obj, ...)

Arguments

obj	Object of class GTree or HRMtree
...	additional arguments

Value

A matrix of non-parametric estimates or a matrix of zeros and ones, say A, such that A*theta is the halfvectorized Sigma, where Sigma is the parametric covariance matrix. If the first argument is of class GTree the method returns the empirical covariance matrix of the data in the GTree object. If the first argument is of class HRMtree the method returns a matrix of ones and zeros which corresponds to hvec(Σ(θ))=Aθ

Note

It is not intendend for independent use.

gremes documentation built on Feb. 16, 2023, 8:06 p.m.