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:	0.1.1
Depends:	R (≥ 3.5.0), igraph
Imports:	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:	2023-02-12
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_0.1.1.tar.gz
Windows binaries:	r-devel: gremes_0.1.1.zip, r-release: gremes_0.1.1.zip, r-oldrel: gremes_0.1.1.zip
macOS binaries:	r-release (arm64): gremes_0.1.1.tgz, r-oldrel (arm64): gremes_0.1.1.tgz, r-release (x86_64): gremes_0.1.1.tgz, r-oldrel (x86_64): gremes_0.1.1.tgz
Old sources:	gremes archive

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