ecEmp {satdad} | R Documentation |
Empirical Extremal coefficients.
Description
Computes on a sample the extremal coefficients associated with threshold k
.
Usage
ecEmp(sample, ind = 2, k, norm = TRUE)
Arguments
sample |
A |
ind |
A character string among "with.singletons" and "all" (without singletons), or an integer in |
k |
An integer smaller or equal to |
norm |
A boolean. 'FALSE' (the default): empirical ec is computed. 'TRUE': inverse normalized empirical ec is computed. |
Value
The function returns a list of two elements:
subsets
A list of subsets from\{1,...,d\}
.When
ind
is given as an integer,subsets
is the list of subsets from\{1,...,d\}
with cardinalityind
. Whenind
is the list, it corresponds tosubsets
.When
ind = "with.singletons"
subsets is the list of all non empty subsets in\{1,...,d\}
.When
ind = "all"
subsets is the list of all subsets in\{1,...,d\}
with cardinality larger or equal to 2.ec
A vector of empirical extremal coefficients.An empirical extremal coefficient associated with the subset
I
is\hat{\ell}_{k,n}(1_I,0_{I^c})
. Its value lies in(1, |I|)
.When
norm = TRUE
, then inverse normalized empirical ec are computed by1 - \dfrac{\hat{\ell}_{k,n}(1_I,0_{I^c})}{|I|}
.
Author(s)
Cécile Mercadier (mercadier@math.univ-lyon1.fr
)
See Also
Examples
## We produce below a figure on the dataset used in Mercadier and Roustant (2019).
data(France)
ec_ymt <- ecEmp(sample = France$ymt, ind = 2, k = 25)
## The 9 largest inverse empirical pairwise extremal coefficients.
graphsMapEmp(France$ymt, region='france', coord=France$coord, k=25, which="iecgraph", select=9)
## The 30 largest inverse empirical pairwise extremal coefficients.
graphsMapEmp(France$ymt, region='france', coord=France$coord, k=25, which="iecgraph", select=30)
## All the inverse empirical pairwise extremal coefficients.
graphsMapEmp(France$ymt, region='france', coord=France$coord, k=25, which="iecgraph")