MCS: Multivariate conditional Spearman's rho

In texmex: Threshold exceedences and multivariate extremes

Description

Compute multivariate conditional Spearman's rho over a range of quantiles.

Usage

MCS(X, p = seq(0.1, 0.9, by = 0.1))
bootMCS(X, p = seq(0.1, 0.9, by = 0.1), R = 100, trace = 10)

## S3 method for class 'MCS'
plot(x, xlab="p", ylab="MCS", ...)

## S3 method for class 'bootMCS'
summary(object, alpha=0.05, ...)
## S3 method for class 'bootMCS'
plot(x, xlab="p", ylab="MCS", alpha=0.05, ylim, ...)

Arguments

X	A matrix of numeric variables.
p	The quantiles at which to evaluate.
R	The number of bootstrap samples to run. Defaults to R = 100.
trace	How often to inform the user of progress. Defaults to trace = 10.
x, object	An object of class MCS or bootMCS.
xlab, ylab	Axis labels.
alpha	A (1 - alpha)% pointwise confidence interval will be produced. Defaults to alpha = 0.05.
ylim	Plotting limits for bootstrap plot.
...	Optional arguments to be passed into methods.

Details

The method is described in detail by Schmid and Schmidt (2007). The main code was written by Yiannis Papastathopoulos, wrappers written by Harry Southworth.

When the result of a call to bootMCS is plotted, simple quantile bootstrap confidence intervals are displayed.

Value

MCS returns an object of class MCS. There are plot and summary methods available for this class.

MCS	The estimated correlations.
p	The quantiles at which the correlations were evaluated at
call	The function call used.

bootMCS returns an object of class bootMCS. There are plot and summary methods available for this class.

replicates	Bootstrap replicates.
p	The quantiles at which the correlations were evaluated at
R	Number of bootstrap samples.
call	The function call used.

Author(s)

Yiannis Papastathopoulos, Harry Southworth

References

F. Schmid and R. Schmidt, Multivariate conditional versions of Spearman's rho and related measures of tail dependence, Journal of Multivariate Analysis, 98, 1123 – 1140, 2007

See Also

chi

Examples

D <- liver[liver$dose == "D",]
plot(D)
# Following lines commented out to keep CRAN robots happy
#Dmcs <- bootMCS(D[, 5:6])
#Dmcs
#plot(Dmcs)

texmex documentation built on May 2, 2019, 4:56 p.m.