stdf: Stable tail dependence function (stdf)

In gremes: Estimation of Tail Dependence in Graphical Models

Stable tail dependence function (stdf)

Description

Computes the stable tail dependence function for given coordinates. If object of class Network or its subclasses is passed non-parametric estimates of the stdf are computed. If an object of class HRMtree or HRMBG is passed parametric estimates are computed with parameters that constitute the slot $depParams in the object.

Usage

stdf(obj, ...)

## S3 method for class 'Network'
stdf(obj, Y, k_ratio, ...)

## S3 method for class 'HRMtree'
stdf(obj, x, Ubar = NULL, ...)

## S3 method for class 'HRMBG'
stdf(obj, x, Ubar = NULL, ...)

Arguments

obj	Object of class Network, or HRMtree or HRMBG
...	additional arguments
Y	A matrix of evaluation points with columns named according to the names of the nodes with observed variables, and of dimensions qx|U| where U is the set of observed variables, and q is the number of vectors at which the stdf is evaluated.
k_ratio	the ration of the upper order statistics as a share of the size of the sample
x	Vector of evaluation points with named elements according to the nodes of the graph.
Ubar	The set of nodes for which data are missing. It should stay at its default value NULL.

Value

A scalar representing the value of the stdf.

Examples

#See Vignette "Additional functionalities".

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