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gremes  

Estimation of Tail Dependence in Graphical Models
View on CRAN: Click here


Download and install gremes package within the R console
Install from CRAN:
install.packages("gremes")

Install from Github:
library("remotes")
install_github("cran/gremes")

Install by package version:
library("remotes")
install_version("gremes", "0.1.1")



Attach the package and use:
library("gremes")
Maintained by
Stefka Asenova
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-12-20
Latest Update: 2023-04-10
Description:
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) . For estimation based on extremal coefficients see Asenova et al. (2021) as well as Einmahl et al. (2016) . For cliquewise estimation please see Engelke and Hitz (2020) .
How to cite:
Stefka Asenova (2021). gremes: Estimation of Tail Dependence in Graphical Models. R package version 0.1.1, https://cran.r-project.org/web/packages/gremes. Accessed 05 Mar. 2025.
Previous versions and publish date:
0.1.0 (2021-12-20 17:00), 0.1.1 (2023-02-12 15:22)
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