causal_tail_matrix: Estimate causal tail matrix

In nicolagnecco/causalXtreme: Causal discovery in heavy-tailed models

Estimate causal tail matrix

Description

Estimates the matrix with causal tail coefficients, given a dataset dat, and a threshold k.

Usage

causal_tail_matrix(dat, k = floor(n^0.4), both_tails = TRUE)

Arguments

dat	Numeric matrix. Dataset matrix with n rows (observations) and p columns (variables).
k	Positive integer. The number of extreme observations used to compute the causal tail coefficient. Set by default to k = floor(n^0.4). It must be greater than 1 and smaller than n.
both_tails	Boolean. Do you consider both tails when computing the causal tail coefficient? If both_tails = TRUE, then you use the \Psi formulation. If both_tails = FALSE, then you use the \Gamma formulation. Set by default to TRUE.

Details

For more information see the documentation of causal_tail_coeff.

Value

Numeric matrix. The entry (i, j) contains the causal tail coefficient between the i-th and the j-th column of dat. The values on the main diagonal are set to NA.

nicolagnecco/causalXtreme documentation built on April 21, 2024, 4:22 a.m.