Estimation of the bivariate angular dependence function of Wadsworth and Tawn (2013)
Source:R/multivar.R
lambdadep.Rd
Estimation of the bivariate angular dependence function of Wadsworth and Tawn (2013)
Usage
lambdadep(
dat,
qu = 0.95,
method = c("hill", "mle", "bayes"),
plot = TRUE,
level = 0.95,
...
)
Arguments
- dat
an \(n\) by \(2\) matrix of multivariate observations
- qu
quantile level on uniform scale at which to threshold data. Default to 0.95
- method
string indicating the estimation method
- plot
logical indicating whether to return the graph of
lambda
- level
level for confidence intervals, default to 0.95
- ...
additional arguments, used for backward compatibility
The confidence intervals are based on normal quantiles. The standard errors for the
hill
are based on the asymptotic covariance and that of themle
derived using the delta-method. Bayesian posterior predictive interval estimates are obtained using ratio-of-uniform sampling with flat priors: the shape parameters are constrained to lie within the triangle, as are frequentist point estimates which are adjusted post-inference.
Value
a plot of the lambda function if plot=TRUE
, plus an invisible list with components
w
the sequence of angles in (0,1) at which thelambda
values are evaluatedlambda
point estimates of lambdalower.confint
level
% confidence interval for lambda (lower bound)upper.confint
level
% confidence interval for lambda (upper bound)
Examples
set.seed(12)
dat <- mev::rmev(n = 1000, d = 2, model = "log", param = 0.1)
lambdadep(dat, method = 'hill')
#> Error in lambdadep(dat, method = "hill"): object 'ci_level' not found
if (FALSE) { # \dontrun{
lambdadep(dat, method = 'bayes')
lambdadep(dat, method = 'mle')
# With independent observations
dat <- matrix(runif(n = 2000), ncol = 2)
lambdadep(dat, method = 'hill')
} # }