View source: R/causal_extreme_functions.R
causal_tail_coeff | R Documentation |
Estimates the causal tail coefficient between two variables
v1
and v2
, given the threshold k
.
causal_tail_coeff(v1, v2, k = floor(n^0.4), to_rank = TRUE, both_tails = TRUE)
v1 , v2 |
Numeric vectors. Two vectors with |
k |
Positive integer. The number of extreme observations used to
compute the causal tail coefficient. Set by default to
|
to_rank |
Boolean. Are the vectors |
both_tails |
Boolean. Do you consider both tails when computing the
causal tail coefficient? If |
The causal tail coefficient is defined in the paper "Causal discovery in heavy-tailed models" and has two formulations.
The first formulation is defined in the paper as the
\Gamma
-coefficient, and it considers only the upper tails of the
variables. To use this formulation set both_tails = FALSE
.
The second formulation is defined in the paper as the
\Psi
-coefficient, and considers both tails of the variables.
To use this formulation set both_tails = FALSE
.
In general, the causal tail coefficient is not symmetric, i.e.,
causal_tail_coeff(v1, v2) != causal_tail_coeff(v2, v1)
.
Numeric — between 0 and 1.
The causal tail coefficient between v1
and v2
.
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