gremes: 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) <doi:10.1007/s10687-021-00407-5>. For estimation based on extremal coefficients see Asenova et al. (2021) as well as Einmahl et al. (2016) <doi:10.2139/ssrn.2717531>. For cliquewise estimation please see Engelke and Hitz (2020) <doi:10.1111/rssb.12355>.

Version: 0.1.0
Depends: R (≥ 3.5.0), igraph
Imports: gRbase (≥ 1.8-6.4), gRim (≥ 0.2.1), abind (≥ 1.4.5), copula (≥ 0.999.19), quadprog (≥ 1.5.5), mvtnorm (≥ 1.0.8), methods, mev (≥ 1.13.1)
Suggests: knitr, rmarkdown, corrplot, testthat
Published: 2021-12-20
Author: Stefka Asenova [aut, cre]
Maintainer: Stefka Asenova <stefkakirilova at yahoo.com>
License: GPL-2
NeedsCompilation: no
Materials: NEWS
CRAN checks: gremes results

Documentation:

Reference manual: gremes.pdf
Vignettes: Additional functionalities
Detailed Contents
Estimation - Note 1
code - Note 1
Estimation - Note 2
Code - Note 2
Estimation - Note 3
Code - Note 3
Estimation - Note 4
Code - Note 4
Estimation - Note 5
Code - Note 5
Estimation - Note 6
Code - Note 6
Huesler-Reiss distributions
gremes - Introduction
Subsets and Coordinates

Downloads:

Package source: gremes_0.1.0.tar.gz
Windows binaries: r-devel: gremes_0.1.0.zip, r-release: gremes_0.1.0.zip, r-oldrel: gremes_0.1.0.zip
macOS binaries: r-release (arm64): gremes_0.1.0.tgz, r-release (x86_64): gremes_0.1.0.tgz, r-oldrel: gremes_0.1.0.tgz

Linking:

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