Asymptotic variance matrix for the Gumbel model.
Computes the asymptotic variance matrix for the Gumbel model, estimated using the pairwise M-estimator or the weighted least squares estimator.
AsymVarGumbel(indices, par, method)
indices: A x matrix containing at least 2 non-zero elements per row, representing the values in which we will evaluate the stable tail dependence function. For method = Mestimator, this matrix should contain exactly two ones per row.par: The parameter of the Gumbel model.method: Choose between "Mestimator" and "WLS".A q by q matrix.
The matrix indices can be either user defines or returned by selectGrid. For method = "Mestimator", only a grid with exactly two ones per row is accepted, representing the pairs to be used.
indices <- selectGrid(c(0,1), d = 3, nonzero = c(2,3)) AsymVarGumbel(indices, par = 0.7, method = "WLS")
Einmahl, J.H.J., Kiriliouk, A., Krajina, A., and Segers, J. (2016). An Mestimator of spatial tail dependence. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 78(1), 275-298.
Einmahl, J.H.J., Kiriliouk, A., and Segers, J. (2018). A continuous updating weighted least squares estimator of tail dependence in high dimensions. Extremes 21(2), 205-233.
selectGrid
Useful links