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) .


Reference manual

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0.1.0 by Stefka Asenova, a month ago

Browse source code at

Authors: Stefka Asenova [aut, cre]

Documentation:   PDF Manual  

GPL-2 license

Imports gRbase, gRim, abind, copula, quadprog, mvtnorm, methods, mev

Depends on igraph

Suggests knitr, rmarkdown, corrplot, testthat

See at CRAN