ecEmp: Empirical Extremal coefficients.

In satdad: Sensitivity Analysis Tools for Dependence and Asymptotic Dependence

Empirical Extremal coefficients.

Description

Computes on a sample the extremal coefficients associated with threshold k.

Usage

ecEmp(sample, ind = 2, k, norm = TRUE)

Arguments

sample	A (n times d) matrix.
ind	A character string among "with.singletons" and "all" (without singletons), or an integer in \{2,...,d\} or a list of subsets from \{1,...,d\}. The default is ind = 2, all pairwise coefficients are computed.
k	An integer smaller or equal to n.
norm	A boolean. 'FALSE' (the default): empirical ec is computed. 'TRUE': inverse normalized empirical ec is computed.

Value

The function returns a list of two elements:

• subsets A list of subsets from \{1,...,d\}.

  When ind is given as an integer, subsets is the list of subsets from \{1,...,d\} with cardinality ind. When ind is the list, it corresponds to subsets.

  When ind = "with.singletons" subsets is the list of all non empty subsets in \{1,...,d\}.

  When ind = "all" subsets is the list of all subsets in \{1,...,d\} with cardinality larger or equal to 2.

• ec A vector of empirical extremal coefficients.

  An empirical extremal coefficient associated with the subset I is \hat{\ell}_{k,n}(1_I,0_{I^c}). Its value lies in (1, |I|).

  When norm = TRUE, then inverse normalized empirical ec are computed by 1 - \dfrac{\hat{\ell}_{k,n}(1_I,0_{I^c})}{|I|}.

Author(s)

Cécile Mercadier ([e-mail])

See Also

ec, ellEmp, graphsEmp

Examples

## We produce below a figure on the dataset used in Mercadier  and Roustant (2019).

data(France)

ec_ymt <- ecEmp(sample = France$ymt, ind = 2, k = 25)

## The 9 largest inverse empirical pairwise extremal coefficients.
 graphsMapEmp(France$ymt, region='france', coord=France$coord, k=25, which="iecgraph", select=9)

## The 30 largest inverse empirical pairwise extremal coefficients.
graphsMapEmp(France$ymt, region='france', coord=France$coord, k=25, which="iecgraph", select=30)

## All the inverse empirical pairwise extremal coefficients.
graphsMapEmp(France$ymt, region='france', coord=France$coord, k=25, which="iecgraph")

satdad documentation built on March 31, 2023, 11:34 p.m.