angextrapo {mev} | R Documentation |
Bivariate angular dependence function for extrapolation based on rays
Description
The scale parameter in the Ledford and Tawn approach is estimated empirically for
large as
where the sample () are observations on a common unit Pareto scale.
The coefficient
is estimated using maximum likelihood as the
shape parameter of a generalized Pareto distribution on
.
Usage
angextrapo(dat, qu = 0.95, w = seq(0.05, 0.95, length = 20))
Arguments
dat |
an |
qu |
quantile level on uniform scale at which to threshold data. Default to 0.95 |
w |
vector of unique angles between 0 and 1 at which to evaluate scale empirically. |
Value
a list with elements
-
w
: angles between zero and one -
g
: scale function at a given value ofw
-
eta
: Ledford and Tawn tail dependence coefficient
References
Ledford, A.W. and J. A. Tawn (1996), Statistics for near independence in multivariate extreme values. Biometrika, 83(1), 169–187.
Examples
angextrapo(rmev(n = 1000, model = 'log', d = 2, param = 0.5))