Estimation of Tail Dependence in Graphical Models

Provides tools for estimation of edge weights on graphical models with respect to trees and block graphs and parameterized by a particular family of max-stable copulas. The edge weights are parameters of tail dependence between adjacent variables and these edge weights determine the joint tail dependence between all variables in the context of a particular parametric model. For methods of moment estimator, composite likelihood estimator please see Asenova et al. (2021) . For estimation based on extremal coefficients see Asenova et al. (2021) as well as Einmahl et al. (2016) . For cliquewise estimation please see Engelke and Hitz (2020) .